This paper develops some applications of asymptotic statistical decision theory in econometrics, focusing on settings where the data are organized into groups or cells with heterogeneous parameters. Even if the groups are of different sizes, local asymptotic normality holds under suitable regularity conditions, and this can greatly simplify analysis of different types of econometric problems. We apply these results to the analysis of treatment assignment rules, and to estimators of cell‐specific parameters that employ shrinkage towards parametric models.