I know that I should avoid for-loops, but I\'m not exactly sure how to do what I want to do with an apply function.
Here is a slightly simplified model of what I\'
This question touches several points that are made in 'The R Inferno' http://www.burns-stat.com/pages/Tutor/R_inferno.pdf
There are some loops you should avoid, but not all of them. And using an apply function is more hiding the loop than avoiding it. This example seems like a good choice to leave in a 'for' loop.
Growing objects is generally bad form -- it can be extremely inefficient in some cases. If you are going to have a blanket rule, then "not growing objects" is a better one than "avoid loops".
You can create a list with the final length by:
result <- vector("list", ncol(g))
for(i in 1:ncol(g)) {
    # stuff
    result[[i]] <- #results
}
In some circumstances you might think the command:
window<-5
means give me a logical vector stating which values of 'window' are less than -5.
Spaces are good to use, mostly not to confuse humans, but to get the meaning directly above not to confuse R.
Using an apply function to do your regression is mostly a matter of preference in this case; it can handle some of the bookkeeping for you (and so possibly prevent errors) but won't speed up the code.
I would suggest using vectorized functions though to compute your first's and last's, though, perhaps something like:
window <- 5
ng <- 15 #or ncol(g)
xy <- data.frame(first = pmax( (1:ng) - window, 1 ), 
                  last = pmin( (1:ng) + window, ng) )
Or be even smarter with
xy <- data.frame(first= c(rep(1, window), 1:(ng-window) ), 
                 last = c((window+1):ng, rep(ng, window)) )
Then you could use this in a for loop like this:
results <- list()
for(i in 1:nrow(xy)) {
  results[[i]] <- xy$first[i] : xy$last[i]
}
results
or with lapply like this:
results <- lapply(1:nrow(xy), function(i) {
  xy$first[i] : xy$last[i]
})
where in both cases I just return the sequence between first and list; you would substitute with your actual regression code.