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This one also surprises a lot of people: They pay taxes. Undocumented Immigrants in the USA paid about 11.6Bn USD in taxes in 2019 according to ITEP.
How are they paying though? That requires some kind of identification.
Their employers pay taxes on their wages through their fake ss numbers. They pay sales tax when they buy things from the store
https://www.irs.gov/individuals/individual-taxpayer-identification-number
An Individual Taxpayer Identification Number (ITIN) is a tax processing number issued by the Internal Revenue Service. The IRS issues ITINs to individuals who are required to have a U.S. taxpayer identification number but who do not have, and are not eligible to obtain, a Social Security number (SSN) from the Social Security Administration (SSA).
Perhaps not income taxes, but maybe taxes on goods and services, property taxes, etc? Can't say for certain though.
If you don't have an SSN then you still need to pay income taxes via ITIN. You don't want to be caught for Tax Fraud as an immigrant.
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In my opinion the costs are much higher to not integrate new peoples. Undocumented Immigrants provide a lot of the ingredients but take none of the pie. I'm not going to sit here and say cheap labor is acceptable, but there is a point where you have to admit we wouldn't have nearly as many workers in less desirable employment fields if not for immigrants, even if wages were higher. They are also on average younger than an aging local population.