In order to move out of state, you need to have a court hearing and win. Hire a lawyer. Go to hearing. A better approach might be to move far away but still within the state, You do not need court permission to do that, although visitation might change,.
You have not identified whether your ex means you were married and divorce or never married. Either way if your ex is the legal parent of your children then you will have to get his agreement to leave the state with the children or the permission of the court by court order.
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