State tax filing

You will be filing a part-year return for PA and a part-year return for NY.  Also, according to the CT Department of Revenue, "Wages of a nonresident are not subject to Connecticut income tax withholding if the wages are paid for services performed entirely outside of Connecticut."  

So unless you physically worked in CT there will be no tax due there.  You will need to file a non-resident return with CT to claim a refund of taxes withheld for CT. 

Ultimately you will get a refund from CT but have to pay PA since nothing was withheld there.  Depending on the level of NY withholding you should be good there. 

To generate the correct forms:

1. In the "My Info" section edit your information
2. Indicate you lived in NY on 31 December
3. Yes you lived in another state (PA)
4. Enter the date you moved to NY
5. Continue (This generates the part-year returns)
6. Still in "My Info" scroll down to "Other State Income"
7. Answer "Yes" you earned income in another state 
8. Select CT
9. Continue (This generates the CT non-resident return)
10. In the "Wages & Income" section now
11. Enter your forms W2
12. Add a line in the state area (Boxes 15-17) with PA and the employer's federal ID number with no spaces/dashes, the W2 box 1 amount in box 16 and a zero in box 17
13. Continue as needed to complete the "Income" entries
14. Next work the CT state interview
15. Allocate zero (0) income to CT throughout the interview
16. The result should be all taxes withheld there show as a refund
17. Next work your PA return
18. Allocate 1/3 (4 of 12 months) of the wages to PA when asked
19. Allocate any other income sources as needed if received while living in PA
20. Finally complete the NY return
21. Allocate 2/3 (8 of 12 months) of the wages to NY when asked
22. Allocate any other income sources as needed if received while living in NY