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I couldn't find anything describing this, but what are the effects on the player and/or on the AI as you set the difficulty level easier or harder?

I've actually never seen anything official about this, but the one thing I do know is that soldier POPs incur higher losses due to battles on higher difficulty levels. This can't be the only thing though.
 
Interesting question to be honest. I know the death of soldiers vs soldier POPs changes. On very easy you lose less than 1 POP when you lose a soldier. On the higher settings this ratio changes. I believe it was 4 POPs versus 1 soldier when playing on very hard.
What else changes in the game and what bonuses the AI gets on the higher difficulty, I do not know.