If I lived in one state and worked in another for only one month, do I need to file...

...two state returns? I lived in Indiana for all of 2010. I was laid off last year and worked in Kentucky for one month before quiting that job for one in Indiana. Do I need to file a Kentucky return or just an Indiana return? My total income for the month I worked in Kentucky was $2155, if that helps. The rest of my 2010 income was earned in Indiana.
 
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