I think a more common way is to have the effect only playing near the player, sort of “attached” to him. You wouldn’t be able to see the rain at long distances anyway, so it’s a waste to have it there.
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Yep, that is commonly used in games. Minecraft is a good example for that 
I think it is also better to use “rainplanes” instead of particle system -> it will save a little bit performance, but it wont look so good ^^