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In cognitive radio networks, the signal reception quality of a secondary user degrades due to the interference from multiple heterogeneous primary networks, and also the transmission activity of a secondary user is constrained by its interference to the primary networks. It is difficult to ensure the connectivity of the secondary network. However, since there may exist multiple heterogeneous secondary networks with different radio access technologies, such secondary networks may be treated as one secondary network via proper cooperation, to improve connectivity. In this paper, we investigate the connectivity of such a cooperative secondary network from a percolation-based perspective, in which each secondary network's user may have other secondary networks' users acting as relays. The connectivity of this cooperative secondary network is characterized in terms of percolation threshold, from which the benefit of cooperation is justified. For example, while a noncooperative secondary network does not percolate, percolation may occur in the cooperative secondary network; or when a noncooperative secondary network percolates, less power would be required to sustain the same level of connectivity in the cooperative secondary network.