There is no self-employment allowed, but there are ways to start a company but not get paid directly by it.
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Can you start your company, while on an H-1B?
Yes, you can. But you can't form an S-Corporation. For that you have to be a citizen of USA. There are multiple ways of starting your own company, but one of the most effective one is by incorporating "Limited Liability Company" ( LLC ). You can find lots of companies on the net which can do this. They may charge you around 150-200$, and the procedure may take few days. LLC can be a "Partnership Firm" or the liability protection as a "Incorporated Company". You can be the Chairman or Director of the board, but you can't work for it, unless you have an H1 visa issued from that company. But, you can always hire a CEO for the company, who has a work permit (Green card or Citizen etc.). For more information about LLC's visit: http://www.llc-usa.com