As a J-visa holder, you are considered as a nonresident for the first two years since you entered the US. ( 2017 and 2018)  You will need to file a Form 1040NR reporting only U.S source income.  For income taxes, you might still owe IRS, see Nonresident and Tax Treaty.

However, you are exempt from FICA, the Social security and Medicare taxes up two years when you are a nonresident.  If they were withheld in error from pay that is not subject to these taxes, you should contact the employer who withheld the taxes for a refund.

If you are unable to get a full refund of the amount from your employer, file a claim for refund with the Internal Revenue Service on Form 843, Claim for Refund and Request for Abatement

Please see More Form 843 for more information