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Prime Minister Prayuth Chan-ocha made the comments Thursday in response to reporters' questions. It was the first official word on the former leader's whereabouts since she fled Thailand last month.
He says the information comes from a "preliminary informal report" compiled by Thailand's foreign ministry.
A Thai court sentenced Yingluck in absentia to five years in prison on Wednesday for alleged negligence in a money- losing rice subsidy program. Her government was ousted in a 2014 military coup.
Officials in Dubai had no immediate comment.