Jennings' trey put Milwaukee up 90-88 and the Bucks added a final free throw from Larry Sanders (18 points, 16 rebounds, five blocked shots) to post a three-point lead.
Also reaching double figures for Milwaukee were Monta Ellis (17 points, seven assists, two steals) and Ersan Ilyasova (15 points, five rebounds).
The Celtics got 19 points and six assists from Pierce, along with 15 points and 11 assists from Terry, who filled in for the suspended Rajon Rondo.
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