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st: -rolling, saving()- and -tempfile- error

From   Roberto Ferrer <>
To   Stata Help <>
Subject   st: -rolling, saving()- and -tempfile- error
Date   Mon, 3 Feb 2014 22:02:19 -0430

Running the following code does not work:

*------------- begin code ----------------

clear all
set more off

* Load data
sysuse sp500
tsset date

tempfile aux results

* Set fixed independent variable
local var open

foreach depvar of varlist high low close volume {

    rolling _b, window(30) saving("`aux'", replace): regress `depvar' `var'
    use "`aux'", clear
    rename (_b_`var' _b_cons) (b_`depvar'_`var' b_cons_`depvar'_`var')

    capture noisily merge 1:1 start end using "`results'"
    capture noisily drop _merge
    save "`results'", replace

    sysuse sp500, clear
    tsset date

* Check results
use "`results'"

*------------------ end code ----------------------

The error is:

file /tmp/St05392.000001" saved
file /tmp/St05392.000001 not found

When substituting this

rolling _b, window(30) saving("`aux'", replace): regress `depvar' `var'

for this

rolling _b, window(30) saving(`aux', replace): regress `depvar' `var'

it works fine. I thought the double quotes surrounding the -tempfile-
-aux- were harmless. What's going on here? According to the error
output, there's a " (double quote) getting saved in the file name.
With the substitution this doesn't happen:

file /tmp/St05392.000001 saved

I'm using Stata 12.1 for Unix, Revision 09 Jul 2013.
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