Perfectly works -
[Demo] DatePicker ChangeMonth and ChangeYear Example[
^].
Even I added the same code which you have added here and tested as a HTML. It is working. HTML is like below.
<html>
<head>
<link rel="stylesheet" href="http://code.jquery.com/ui/1.11.4/themes/smoothness/jquery-ui.css">
<script src="http://code.jquery.com/jquery-1.10.2.js"></script>
<script src="http://code.jquery.com/ui/1.11.4/jquery-ui.js"></script>
<link rel="stylesheet" href="/resources/demos/style.css">
<script type="text/javascript">
$(function() {
$( "#dob" ).datepicker({
changeMonth: true,
changeYear: true
});
});
</script>
</head>
<body>
<input type="text" id="dob" />
</body>
</html>