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Here is a data step to produce an ar1 error process.

%let alpha=0.9;

data tmp;
  seed=123;
   e0=rannor( seed);
   do i = -50 to 50;

       e= &alpha * e0 +    rannor( seed);
       if i >0 then output;
       e0=e;

    end;
run;

proc arima data=tmp;
identify var=e ;
run;
estimate p=(1) noint method=ml;
run;

quit;