If NJ unemployment compensation was your only income earned in NJ, then you are not required to file a NJ tax return solely because of this income.
Here is a link to the NJ Division of Taxation web site, regarding the taxability of NJ unemployment compensation: http://www.state.nj.us/treasury/taxation/njit12.shtml
You'll note that Unemployment Compensation appears as part of a list under the following heading: Certain items of income are not subject to New Jersey income tax and should not be included when determining whether you must file a New Jersey return.
If there are additional details regarding your residency in NJ that you haven't mentioned here and which could affect your filing requirements, then you'll want to check out their web site at the above link.
