Nope! Nah-hah! No way! The Pennsylvania government's Open For Business website is crystal clear on that point..."A sole proprietorship is not required to file organization papers with the Pennsylvania Department of State..."
A sole propietorship is essentially a business you operate under your own name. Legally, there's not much of a difference between you, the person, and you, the business proprietor, which may not seem worth worrying about but is actually quite important if one of you gets sued.
However, if you take on a fictitious business name (that is, if you opt for some dumb name for your business like Kyooenay), then Pennsylvania expects you to register your fictitious name with the state powers-that-be.
A lot of good background on sole proprietorships, partnerships, LLC, corporations and other forms of business is provided for you in a handy-dandy Pennsylvania state publication, Starting a Business in Pennsylvania -- A Beginner's Guide.
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