Hello!
Judging by the question you have provided I have come to the realization that the burning of any substance is a chemical change because different elements are mixing. For example, if paper is burnt the paper combines with oxygen to produce smoke and ash, this is a chemical reaction that can be observed as well.
Moreover, the burning of magnesium will also produce a unique chemical reaction that can be observed. When magnesium is burned it produces a bright light with smoke and ash.
Hope this helped!
-Blake