In early 2017, I purchased land out of state. Later in 2017, I took out a construction loan that converts to a mortgage later this year when construction is complete. I plan to move to this new house in 2019. Am I able to deduct the interest payments and closing costs for 2017 and will I need to file a return in this other state?
Yes, you can deduct the interest on your construction loan if the loan was secured by the property you moved into.
You can treat a home under construction as a qualified home for a period of up to 24 months, but only if it becomes your qualified home at the time it is ready for occupancy. The 24-month period can start any time on or after the date that construction begins.
See page 4 under Qualified Home and Home Under Construction: https://www.irs.gov/pub/irs-pdf/p936.pdf