Please help resolve some confusion regarding newey (the command to run NW SE regression in Stata):

It requires a lag value.

Does the lag value define what lag we are using (e.g. lag of 2 years), or does it define the maximum lag for a cumulative model (i.e. lag of 2 years and lag of 1 year included in model)?

From - help newey -

lag(#) set maximum lag order of autocorrelation