At first he told the police that had nothing to do with it. He said he was eating lunch at the time of the shooting. He also denied the murder of Police Officer Tibbit. As the policeman had crossed Harvey's path in the aftermath of the murder, he had been gunned down, too.
For more information on the Kennedy Assassination here is an installment from The Warren Report by Chief Justice Earl Warren, future President Gerald Ford, and other senior statesmen:
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