In compilation time how to find the macro is defined in which header file

Lets take the below code , If the macro HAVE_SYS_SELECT_H is defined then they included the header file. I need to know where the macro is ? That is in which which header file the macro is defined.

Is there any option for that while compiling the source code ?

Is there is a way to find the header file ?

#ifdef HAVE_SYS_SELECT_H
    #include <sys/select.h>
#endif