在使用xtfmb命令做Fama-macbeth回归时，看到

Syntax
    xtfmb depvar [indepvars] [if] [in] [weight] [, level(#) verbose lag(#)]


给出的description为：
    If xtfmb is called without option lag(#), then it is possible to test for the significance of coefficient combinations. This works because in this case the second step of the Fama-MacBeth procedure is implemented by aid of Zellner's SUR estimation.

    When xtfmb is called with option lag(#), then heteroscedasticity and autocorrelation consistent Newey-West (1987) standard error estimates are provided.  However, in this case the current implementation of xtfmb does not allow for testing the significance of coefficient combinations.


这边的lag（）是什么含义呢？我不太理解这两段话。lag（1）是指它会自动用 t+1 期的因变量对 t 期的自变量回归吗？

多谢解答