Although all the license plates and a few road signs read Connecticut, the movie was in fact filmed in Los Angeles, California.
Crystal Lake was shown to have been in New Jersey (due to license plates and other things in Parts 2 & 3). Adam Marcus stated that Jason Goes to Hell takes place after Part 2, and ignores all the other films, therefore, he believed it was set in Connecticut. He must have ignored the license plates in Part 2 as well.