Changeling is a characteristic-defining ability. It functions in all zones, not only while a card that has it is on the battlefield.

If an effect causes a creature with changeling to become a new creature type, it will be only that new creature type. It will still have changeling; the effect making it all creature types will simply be overwritten.

The subtype Shapeshifter that appears on the type line is mostly there to reinforce the flavor. A creature card with changeling is just as much an Elf, a Dwarf, a Sliver, a Goat, a Coward, and a Zombie as it is a Shapeshifter.

Once you announce that you’re activating the activated ability, no player may take actions until the ability has been paid for. Notably, opponents can’t try to remove creature cards from your graveyard to stop you from activating the ability.

If an effect causes a creature with changeling to lose all abilities, it will remain all creature types, even though it will no longer have changeling. This is because changeling applies before the effect that removes it.