  Determining accurately when regime and structural changes occur in various
time-series data is critical in many social and natural sciences. We develop
and show further the equivalence of two consistent estimation techniques in
locating the change point under the framework of a generalised version of the
Ornstein-Uhlehnbeck process. Our methods are based on the least sum of squared
error and the maximum log-likelihood approaches. The case where both the
existence and the location of the change point are unknown is investigated and
an informational methodology is employed to address these issues. Numerical
illustrations are presented to assess the performance of the methods.
