Birds like the chipping sparrow migrate from Lower Michigan during the winter. However, for the house sparrow it does not migrate and it can be found all year long in the state of Michigan. You can get additional details at http://www.outdoor-michigan.com/Birds.htm.
Some do, some don't. And many small finches that look like sparrows stick around in winter. You have to first ID the type of sparrow, then look up it's unique migration habit. They vary by state. This Audobon site will help you: http://www.audubon.org/