Paco is correct, but it is worth adding that you have to do ALL your exams in one State. Thus, for instance, you can do an ATPL theory course in the UK, take all the exams in France, and complete CPL/IR in Austria. The State that holds your medical collates the passes and issues the licence. The only note of caution is that not all EASA Authorities are particularly easy to deal with, many are particularly difficult if you don't speak the language or haven't trained in that State. To their credit the UK CAA are one of the best, if not the best, and seem to understand the rules.