Postgres Pro Standard : Documentation: 9.6: SET CONNECTION : Postgres Professional

SET CONNECTION
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SET CONNECTION

SET CONNECTION — select a database connection

SET CONNECTION [ TO | = ] connection_name

SET CONNECTION sets the “current” database connection, which is the one that all commands use unless overridden.

connection_name: A database connection name established by the CONNECT command.
DEFAULT: Set the connection to the default connection.

EXEC SQL SET CONNECTION TO con2;
EXEC SQL SET CONNECTION = con1;

SET CONNECTION is specified in the SQL standard.