Depending on how long each of you has resided in your respective states, you could each file in your own. A big factor might be if either of you own any real estate and where it is.
The fact hat you live in separate states is not an insurmountable problem. The problem is making sure it is done correctly. For starters, consult with a local attorney, and explain to him or her ALL that needs to be known in order to give you a proper answer.
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