Once you file your final dual-status tax returns, the IRS will be effectively notified of your change in status. You also have to get a departure permit approximately two weeks before you plan to leave, but cannot apply earlier than 30 days before your planned departure date. You get this by filing either Form 2063 or Form 1040-C.
Lastly, if you are leaving the country and do not plan to return on your current visa, you typically do not need to notify immigration.
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