SQLITE C : Unable to set WAL mode using sqlite3_exec()

After executing sqlite3_open(), I am executing the following block of code to switch to WAL mode.

rc = sqlite3_exec(db, "PRAGMA journal_mode=wal", 0,0,0);
    if( rc != SQLITE_OK ){
       printf("SQL error: %s\n", zErrMsg);
       sqlite3_free(zErrMsg);
    }

but it is not doing anything, nor returning any error. Am I executing it at right place?