can not change line of ylabel in "Gnuplot terminal latex"

[<hi...@gm...>]

 Hello,

When I used  Gnuplot          *set terminal latex*,
the code         *set ylabel "This is\\the\\$y$ axis"*
produced a code in the output .tex file   *
\put(445,21){\makebox(0,0){This
is\\the\\$y$ axis}}.*
**
However, when I pdflatexed the .tex file including the plot file.
The ylabel was still in the same line, rather than changing lines.
Could you please tell me the reason?
Is it a bug?


Thank you!
Todd Sun