xgboost using R xgb.importance throws error

I am using xgboost package from CRAN for the first time.

Creating a model as:

bst <- xgb.train(data = dtrain, booster = "gblinear",
 objective = "reg:linear", max.depth = 5, nround = 2,watchlist=watchlist)

importance_matrix <- xgb.importance(model = bst)

When I call xgb.importance I get an error:

Error in readLines(filename_dump) : 'con' is not a connection

Any ideas why?