... or, if you are wedded to the window() approach, you could use the match
function ....
dat_seq <- seq(as.Date("2000-01-01"), as.Date("2010-01-01"), by="1 day")
window(dat_seq, start= match(as.Date("2000-01-01"), dat_seq),
end = match(as.Date("2007-01-01"), dat_seq))
HTH
Pete
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