An explosion rocked an empty classroom at Yale University's law school on Wednesday afternoon and caused some damage, but no injuries, officials in New Haven and at the Ivy League school said.

Federal Bureau of Investigation Special Agent Mike Wolf said an 'explosive device' had gone off.

The explosion, which knocked out a wall between two rooms, came a day after the US government raised its terror alert status to 'high' from 'elevated' because of what officials said was a renewed risk of terrorist attack in the United States.

Investigators from the FBI's Joint Terrorism Task Force were headed to Yale, officials in Washington said.

President George W Bush, who graduated from Yale, spoke earlier on Wednesday at the Coast Guard Academy in New London, Connecticut, about 80 km east of New Haven. The president's daughter Barbara attends Yale University as an undergraduate student, but was not on campus at the time of the blast.

Yale said in a statement the explosion caused 'considerable damage' to the classroom and to an adjacent lounge.

Jennifer Sperling, a first-year law student from Arlington, Virginia, said she was completing a daylong exam when she heard 'a really loud boom'.

"My heart started pounding, I was hyperventilating. Then people started yelling to get out of the building," she said.

Mike Pyle, a second-year law student, said he was among a few dozen people in the building when the blast occurred.

"People are very lucky to have gotten out safe," Pyle told Reuters.

Connecticut State Police Col Tim Barry, at a briefing with Wolf, said it would take two or three days for law enforcement officials to go through the evidence at the scene of the explosion.

They said there had been no threat before the explosion and no claim of responsibility afterward.

The explosion came at the end of the school's academic year. Dormitories on campus were empty, most students had finished their exams and the law school's graduation ceremonies had been set for Monday.

Yale said the law school would be closed through Friday but the rest of the university would be open and would operate normally. All graduation ceremonies were set to proceed as scheduled.

It is not the first time that an explosion has shattered the relative calm of the leafy campus. A decade ago, Yale University computer scientist David Gelernter was maimed by a bomb sent by convicted Unabomber Theodore Kaczynski.