Just to clarify Keygrips remark - this applies to the ATPL theory course and the CPL training course. As both of these courses constitute the Licence, both should be undertaken in the same country, unless you've established that there is Mutual Recognition.
As the IR (for example) is a rating, it can be done at any JAA school and added to your licence without need for Mutual Recognition. Hour building can obviously be done in any location, JAA or not.