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Recent studies demonstrated that dynamic spectrum access can improve spectrum utilization significantly by allowing secondary unlicensed users to dynamically share the spectrum that is not used by the primary licensed users. Cognitive radio was proposed to promote the spectrum utilization by opportunistically exploiting the existence of spectrum "holes." Meanwhile, cooperative relay technology is regarded widely as a key technology for increasing transmission diversity gain in various types of wireless networks, including cognitive radio networks. In this article, we first give a brief overview of the envisioned applications of: cooperative relay technology to CRNs, cooperative transmission of primary traffic by secondary users, cooperative transmission between secondary nodes to improve spatial diversity, and cooperative relay between secondary nodes to improve spectrum diversity. As the latter is a new direction, in this article we focus on this scenario and investigate a simple wireless network, where a spectrum-rich node is selected as the relay node to improve the performance between the source and the destination. With the introduction of cooperative relay, many unique problems should be considered, especially the issue for relay selection and spectrum allocation. To demonstrate the feasibility and performance of cooperative relay for cognitive radio, a new MAC protocol was proposed and implemented in a universal software radio peripheral-based testbed. Experimental results show that the throughput of the whole system is greatly increased by exploiting the benefit of cooperative relay.