To change the label, add **add_new_item** in **labels array** passed when creating your custom post type. Below is an example of custom post type 'Events'.
    
    add_action( 'init', 'create_post_type' );

    function create_post_type() {

      register_post_type( 'events',
        array(
            'labels' => array(
                'name' => __( 'Events' ),
                'singular_name' => __( 'Events' ),
                'add_new_item' => __( 'Add Event' ),
                'add_new' => __( 'Add Event' ),
                'edit_item' => __( 'Edit Event' ),
                'featured_image' => __( 'Event Image' ),
                'set_featured_image' => __( 'Upload Event Image' ),
                'remove_featured_image' => __( 'Remove Event Images' ),
                'menu_name' => __( 'Manage Events' ),
            ),
            'public' => true,
            'menu_icon' => 'dashicons-calendar',            
            'has_archive' => true,
            'supports' => array('title', 'thumbnail', 'editor'),
        )
      );
    }

For more information about the changing labels in custom post type [refer this link][1]


  [1]: https://codex.wordpress.org/Function_Reference/register_post_type

Hope this helps.