I have several mssql servers that are linked in a chain. I would like to connect to a linked server, and from that server connect to another linked server and execute a query. Is it even possible to do so, and if so how?
Yes you can do that:
1) add a SQL user with db_ddladmin role on the machine you want to connect to.
2) add a linked server on the sql server from where you want to connect and select the user which you use on the server to connect to the linked server (in the properties windows from the linked server you just added) and fill in the user with password you made in step 1). Don't use impersonate!!!!
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