LAG is a function that IML does not support in SAS 9.2 (but will in the next release). You can write a simple module to compute the lag of a column vector:

proc iml;
start lag(x, d);
n = nrow(x);
y = j(n, 1, .);
if n >= d then
y[d+1:n] = x[1:n-d];
return( y );
finish;

x = {1,2,3,4,5};
x1 = lag(x, 1);
x2 = lag(x, 2);
print x1 x2;