Your statement works fine for me, on SQL Server 2012, so I would expect it to work on SQL 2014 as well (it wasn't supported by SQL Server 2008, but was from 2012 onwards.
Check you are running on the server instance you think you are:
SELECT @@VERSION
will return something like this:
Microsoft SQL Server 2012 (SP2-GDR) (KB3194719) - 11.0.5388.0 (X64)
Sep 23 2016 16:56:29
Copyright (c) Microsoft Corporation
Express Edition (64-bit) on Windows NT 6.3 <X64> (Build 15063: )
(which is what mine returns). I'm betting you are running 2008...