@John Smith correct, you can override the output with multipleoutputs and define path as you wish in Java. In Pig it is not possible, perhaps you'd like to open an enhancement Jira? To store results into normal FS, you need to launch the script in local mode or specify full path file:///path. Vice versa for Tez/MR mode, then you specify hdfs:// in local mode for hdfs FS.
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