You cannot file a tax return without some record of your income. Whether that is a W-2 from your employer, a substitute W-2 created from your last pay stub, or your own records of your income from self-employment.
The IRS will have records of all W-2s from your previous employers. If you file a Schedule C for self-employment, you are required to keep records of your income and expenses in the event that the IRS audits your return.
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