From Upanishad book

The human being has two states of consciousness: one in this world, the other in the next. But there is a third state between them, not unlike the world of dreams, in which we are aware of both worlds, with their sorrows and joys. When a person dies, it is only the physical body that dies; that person lives on in a nonphysical body, which carries the impressions of his past life. It is these impressions that determine his next life. In this intermediate state he makes and dissolves impressions by the light of the Self.
- Brihadaranyaka Upanishad -