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In my data that I extracted from SQL, I have a column that has 'County Name' County 'State Abbreviation', for the most part it works (I did use parish and borough for LA and AK). When it comes to Pike County AR, it is highlighting the entire state of Georgia, any thought why?
Bigger issue with Mississippi counties showing up all over the US
It is hard to answer without knowing exactly how your SQL dB tables are structured, but one thing I would look into is whether you have the appropriate ST_CODE and FIPS IDs for the county and state tables and join on those in your Power BI data model. You will still be able to filter by the State and County names, but behind the scenes everything is done at the ID level. Joining on text data such as 'AR' is not recommended in any data model. I would speak with your DBA to determine if the State and County tables have the proper keys in them. This ensures Referential Integrity which is likely your problem and beyond the scope of a Power BI forum.