State one's lost a lot of hair (4)
I believe the answer is:
mane
'hair' is the definition.
(I know that mane is a type of hair)
'state one's lost a lot' is the wordplay.
I cannot really understand how this works, but
'state' could be 'ma' (abbreviation for Massachusetts) and 'ma' is located in the answer.
The remaining letters 'ne' is a valid word which might be clued in a way I don't see.
This explanation may well be incorrect...
'of' acts as a link.
Can you help me to learn more?
(Other definitions for mane that I've seen before include "Hair (of lion)" , "Name for hair on horse's neck" , "(Lion's) hair on neck" , "Long shaggy hair" , "Lion or horse's 10 Across" .)