Color Changing Solar LED sidewalk light, don't change color

I bought several Color Changing Solar LED sidewalk lights at Walmart. Of the four I bought, three of them changed color, the 4th one stayed red all the time. Since I was going to Walmart, I took the defective one and exchanged it yesterday for one that works properly.
I'm only posting this because I opened it up before I returned it, and I could not see any circuit board, chips or other parts. Just the LED and some wires going to the battery and solar panel. This makes me wonder how they change color???? Apparently the whole circuit is built right into the LED itself. Anyone know anything about them?
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