Although it will vary widely from OS to OS and server to server, I would guess that the script is executing as user nobody (on UNIX/Linux hosts anyway)and the System Administrator doesn't allow that uid to create files.
So the Sys. Admin. of each host will have to contacted to find out if/where you can create the file. There are several other options for file creation under UNIX style OS's, but unfortunately all will involve contacting the administrator to change permissions and/or setuid values.
Hope this helps and as always, this is just my opinion I could easily be, and probably am wrong.
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