How can I set statement_timeout for an individual migration?

I’d like to set postgres statement_timeout for an individual migration. I can’t seem to be able to do this. Here’s my experiment:

def change

  execute <<~SQL
    SET LOCAL statement_timeout = 1; -- ms

    -- this does not cause a timeout which is expected, because pg
    -- only applies the timeout to the next protocol message / statement,
    -- and rails sends everthing inside execute in the same statement
    select pg_sleep(1); -- seconds

  # if uncommented, this DOES cause a timeout, which is expected
  # execute <<~SQL
  #   select pg_sleep(1); -- seconds
  # SQL

  # this does not cause a timeout, which is unexpected
  remove_column :foos, :bar

  # we do get here, which is unexpected
  raise "we finished"

How can I do this?