DS a. I live in a city to the north of the state. This suggests that the city is not in the state.
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DSa. I live in a city to the north of the state.This suggests that the city is not in the state. It is north of the border.
DSb. I live in a city on the north of the state.This is not natural.
DSc. I live in a city in the north of the sate.The city is in the northern part of the state.