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It depends on what kind of blog it is and how it is going to be promoted. If you are going to write about the same subject the site caters to, then you might as well install the blog inside a folder on your site, like yoursite.com/blog or open a subdomain blog.yoursite.com. If you are only going to use white hat seo to promote the site and the blog then have them on the same domain, if not then separate them into two different domains with the blog one on a keyword rich domain.
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