Holding Company to reduce state income tax?
I will assume your entities are LLC. In that case state of formation is not important - your companies' profits will pass through to your personal tax return and you would have to pay taxes based on your residence.
Same would apply to S-Corporation, however if your entities are C-Corporations then your plan would work, more or less. I recommend you to consult a tax advisor for all aspects of taxation, our website is more focused on questions of incorporation and business filing, since tax questions are very much specific to each case, and anyway such advise should be given by a licensed individual.