R markdown link is not formatted blue when knitted to pdf

To elaborate on the answer by @eipi10, and to answer a question in the comments by @Maarten Punt, the urlcolor is specifying the color for URL links referenced in the doc. However you might have links to other sections in your document, specified by linkcolor. So you can specify either:

---
title: "R Notebook"
output:
  pdf_document: default
urlcolor: blue
linkcolor: red
---

## test links vs urls

* see [the relevant section](#test)



[link](http://www.rstudio.com)


```{r cars}
summary(cars)
```

\newpage

## Including Plots{#test}

You can also embed plots, for example:

```{r pressure, echo=FALSE}
plot(pressure)
```

The red is a link within the document, whereas the blue is a URL link.

Add urlcolor: blue to the yaml.

---
title: "R Notebook"
output:
  pdf_document: default
  html_notebook: default
urlcolor: blue
---

```{r, echo=F}
# tex / pandoc options for pdf creation
x <- Sys.getenv("PATH")
y <- paste(x, "E:\\miktex\\miktex\\bin", sep=";")
Sys.setenv(PATH = y)
```

[Link to R Studio](www.rstudio.com)

Bare urls will also be highlighted:

http://www.rstudio.com