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HOI4 is a newer game and currently still pretty buggy and the AI is being improved, but definitely lacking atm. The AI is challenging even for more advanced players and small nations offer really fun challenges. There are quite a few internal features for nations that are important offer big advantages if you dedicate the effort. EU4 deals with many aspects of building an empire using war, diplomacy, espionage, backstabbing.
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It has a huge amount more features and a longer time period, more historical events and allows for significant alternate history. EU4 is currently much more polished and fleshed out than HOI4.
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