For versions up to 2.79, you need to be on the info window

![enter image description here][1]

then select your render engine

![enter image description here][2]


For version 2.8 the settings are here:

[![enter image description here][3]][3]


  [1]: https://i.sstatic.net/H3sUl.png
  [2]: https://i.sstatic.net/wiWRh.png
  [3]: https://i.sstatic.net/V6Th3.png