Can't create External Data Source on SQL Server 2016

Question

I have SQL Server 2016 and I'm trying to create an external data source to another database on the same server. The documentation says that it applies to SQL Server 2016 but the following command fails with error

Incorrect syntax near 'EXTERNAL'

Code:

CREATE MASTER KEY ENCRYPTION BY PASSWORD = 'master_key';

CREATE DATABASE SCOPED CREDENTIAL cred
WITH
     IDENTITY   = 'test_user'
,    SECRET     = 'test_password'
;

CREATE EXTERNAL DATA SOURCE TEST
WITH
(
  LOCATION = 'sqlserver://same_sql_server'
, CREDENTIAL = cred
)