No. If you are filing partnership (Form 1065) return there is a check box for Final Return on line G of page 1. If you're filing a final return for an S-Corp (Form 1120-S) there is a check box on line H of page 1. If you are filing a Schedule C as a sole proprietor, there is nothing to check, and no form to file. You just don't file it next year.
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