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Currently available procedures for detecting those changes for dependent data (e.g., Quintos<jats:italic>et al<\/jats:italic>., 2001) are all based on comparing Hill (1975) estimates from different subsamples. We derive tests for a wide class of other tail index estimators. The limiting distribution of the test statistics is shown not to depend on the particular choice of the estimator, while the assumptions on the dependence structure allow for sufficient generality in applications. 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