Thank you all again. This works:
CREATE OR REPLACE FUNCTION "sp_SetScenario"(scen character varying) RETURNS void AS $$
DECLARE sqlStatement varchar(500);
BEGIN
sqlStatement = 'ALTER USER postgres WITH DEFAULT_SCHEMA = ' || scen;
EXECUTE(sqlStatement);
END;
$$
LANGUAGE 'plpgsql'
I removed SET from:
SET sqlStatement = 'ALTER USER postgres ...
I changed:
EXEC(sqlStatement);
to:
EXECUTE(sqlStatement);
Jim
