This paper considers the problem of base station cooperation in the downlink of heterogeneous cellular networks. Using tools from stochastic geometry, an exact integral expression for the network coverage probability is derived in the scenario where a typical user receives the signal from a pool of base station, possibly belonging to different tier networks, that are selected based on their average received power levels or distance from  from the receiver. An exact expression for the coverage probability is also derived for worst-case users, which are located at points equidistant from three base stations. Numerical evaluations illustrate absolute gains in coverage probability of up to about 17% for general user and 24% for the worst-case user compared to the non-cooperative case.