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As for actual unification mechanics, you first need to be allies, then you need to join a federation, then you have to go to the federation leader and choose to absorb one of the federated countries. However, that is only possible if you have a claim on that nation's territory. So, for ex: for EU to absorb Russia, you need to have claim on Russia's territories. Normally you do not and you have to research a project first that gives you that.
So, if you want to unify Russia and China, you need to find a tech that gives either China o Russia claim on other nation's territories, then become allies, then enter into a federation, then choose to unify them.
1) Allies - any country can do this with another.
2) Federation - requires social tech.
3) Unification - some, but not all, nations within a Federation.
A single federation can, in theory, come to encompass the globe but your unification options will only extend to what listed as claims in the tech to create that federation. Check your archive if unsure.
So while America can technically join the European Union, it cannon for Unity with them because the EU tech doesn't give any claims (to France) on America.
Getting into an alliance, then federation, then unification is a very long process and it can wreck your military technology level.
So if you start going backwards Australia first, then commonwealth (include Canada for fun), then EU, you can end up with EU being on all inhabited continents (and it can absorb Russia too).
But I don't believe there are chains that would give you everything, for example, I don't think the America can be totally unified, I believe you can get Northern/Central and South America entities, but not one super entity (I don't remember, you may be able to merge Northern and Central, but not sure). Africa I think can have like two, Asia goes to China, India and Caliphate, Europe and Russia can become one (from either side).
Also, in general, it's much faster to unify via wars than allied/federation/unification chain which can be sped up with two projects, but still takes like four months (from taking over), while via war it can take a couple of turn including taking over. An exception to that may be some largeish countries and if your unification target has armies (well, except if you took over, you can of course disband or move the armies away, but that again takes time).
War in that case will lead to loosing control on regions without claim.
Peaceful unification with target country Cohesion >=5 will lead to you gaining everything.
Ah, I didn't know that, thanks!