If it was a direct deposit to your bank, you can check with your bank to see if maybe it's pending a deposit with them still. If not, you will need to contact your state's tax office or department of revenue so that they can investigate, stop payment and correct it for you. If they issued you a paper check, it may take a few more days to arrive depending on your postal service.
You can go here How do I contact my state Department of Revenue? and select your state to get their contact page so you can call them to let them know it wasn't received.
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