Filed last year but they say never received?

I filed taxes last year throughthe mail.I recieved my state refund but not me federal.When i called everyone I could think of they said they never got it.I called for months and kept giving dofferent numbers to call but still no answers or refund.I don't owe taxes .Can I file last year federal this year without being penalized or they will penalize me anyway.I heard we have two years to file before getting penalized.Is that true? I sent it off because state got theirs but why didn't the federal get to its destination.