SET CAMERA RANGE is your first issue. If your road is 2000 units long, and your camera range is 1000, it will disappear.
You can combine the range with FOG, so that the road gently fades into the fog, and you never see it being culled by the camera range.
You can also use a Skybox to house your scene. Again this should be used in conjunction with Camera range and fog settings
BatVink
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