You need at least Lightroom 6.1 / CC 2015.1 for this camera.
If you're on LR 5 or older, you will need to upgrade to LR 6 / CC, alternatively you can use the free DNG converter to convert your raw files to DNGs that can be read by your current version of Lightroom.
That camera will shoot DNGs. Just use those instead of PEFs.
Thanks. I recently updated the program and am now able to see the RAW files. When I installed LR 6 in December I got the message that it was unable to show the preview for the RAW photos that I took. I switched to JPEG and only recently remembered to try again. I just tried again after posting the question and thankfully now I am able to view and save as DNG.