In a Stateless Session Bean an EntityManager is injected but I would like to get hold of a Connection object in order to invoke a DB Procedure.
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The JPA API itself doesn't seem to offer this, not surprisingly, but if you're willing to couple your code to a specific implementation, then you can use something like this (Hibernate):
Session hibernateSession = entityManager.unwrap(Session.class);
Connection jdbcConnection = hibernateSession.connection();
Note that Session.connection() is deprecated for removal in Hibernate 4. Consider using Session.doWork() instead.