The Sun is a giant ball of gas. It is the largest Star in The Solar System. The Sun is the center of our Solar System. Life here on Earth would not exist without the Sun. The Sun comes out in the morning, and goes away at night.
National Geographic Kids - The Sun

Source: National Geographic Kids. "Sun - Get the Facts." 1996-2005 National Geographic Society, 2017 National Geographic Partners LLC. http://kids.nationalgeographic.com/explore/space/sun/#sun.jpg
Our Moon orbits the Earth. American Astronauts have planted 6 flags on the moon. The Moon's gravitational pull affects the Earths tides. The Moon comes out at night and goes away in the morning.
National Geographic Kids - The Moon

Source: National Geographic Kids. "Mission to the Moon." 1996-2005 NATIONAL GEOGRAPHIC SOCIETY, 2017 NATIONAL GEOGRAPHIC PARTNERS LLC. http://kids.nationalgeographic.com/explore/space/mission-to-the-moon/#moon-surface.jpg
Stars produce heat, light, and ultraviolet rays. They are made up of gas. One example of a Star is our Sun! The Stars in our Solar System appear during the night and disappear during the day. 
National Geographic Kids - The Stars

Source: National Geographic Kids. "Star Parties." 1996-2005 NATIONAL GEOGRAPHIC SOCIETY, 2017 NATIONAL GEOGRAPHIC PARTNERS LLC. http://kids.nationalgeographic.com/explore/space/star-parties/#starry-night.jpg
FINAL THOUGHTS.....
They all take turns being up in the sky for us to see. The sun is out during the day and the moon and stars are out during the night.
They are in the our sky at different times. That’s correct, The Sun, and Moon, and Stars take turns going back and fourth into our sky.
This makes a pattern. When we wake up we see the Sun, When we go to sleep we see the moon and stars. This pattern happens over and over again everyday.
Follow the link below to complete your BIG QUESTION.