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I want to refer to any figure, table or citations in my text so that if I click on the reference (or link) it will take me to the actual figure, table or citation. Currently, it is not happening for me in the pdf I generate with LaTeX. Should I have to add any package for that?

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You need to use the hyperref package for this. In the code below I have added some customization as a starting point because it is also frequently asked about.

    backref =       true,
    pagebackref  =  true,
    colorlinks =    true,
    linkcolor =     [rgb]{0.0,0.0,0.8},
    anchorcolor =   [rgb]{0.0,0.0,0.8},
    citecolor =     [rgb]{0.0,0.0,0.8},
    filecolor =     [rgb]{0.0,0.0,0.8},
    urlcolor =      [rgb]{0.0,0.0,0.8},
    pdftitle=       {Title},
    pdfsubject=     {Title},
    pdfauthor=      {A. Uthor}
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If all colors are to be the same, you can provide a single instruction, viz., allcolors = blue (or whatever other color you like). – Mico Feb 4 '12 at 9:27

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