A personal union is a combination of two or more countries that have the same monarch while their boundaries, laws, and interests remain distinct. Many members of the British commonwealth are such countries. The point, hmm, it’s convenient to reflect history in the people you put on your money? There is room for diverse opinion here.
A federal country is characterized by the existence, at the national level, of a written, rigid constitution guaranteeing the several intermediate governments not only permanence and independence but also a full complement of legislative, executive, and judicial powers. The US is an example of this sort of thing with its 50 states.
A confederation is a political union of sovereign countries united for purposes of common action. Usually created by a treaty, confederations of countries tend to be established for consistently dealing with critical issues, such as defense, foreign relations, internal trade or currency, with the central government being required to provide support for all its members. The EU is one such confederation, as is the Swiss Confederation (which mechanically is not at all like the US).
Union could mean confederation, as in European Union or African Union, or it could be a collaborative of individual people, like a labor union.
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