You can use the adjective occidental to describe the Western part of the world, as opposed to Asia and the Middle East. The United States is an occidental country.
The word occidental is uncommon these days, in part because it's historically been the opposite of oriental, a term for the Eastern countries of the world, mainly Asia — which has come to be considered offensive (or at least old-fashioned). You won't hurt anyone's feelings by describing Europe or Canada as occidental, though few people will know what you mean. The Latin root, occidentem , means "western sky" or "sunset."