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No, it is not possible to change the country of residence for the Shopee App.
If you want to view or purchase products from other countries, you will need to use the Shopee App that is specific to that country (e.g. Shopee PH for the Philippines).
Once you have downloaded the Shopee App for that country, sign up for a new account using a locally registered number to start shopping.
Learn how to change your country and about buying from other Shopee platform.