I just ran into the same problem. When you read in the DC data, set the year
column as the row names instead of the first column. For whatever reason
this worked for me. I hope if works for you. 

DC<-read.table("Dalton.txt", header=T, row.names = 1) 
climate<-read.table("climate.txt", header=T) 
dcc.DC<-dcc(DC, climate, method ="response", start = -4, end =9) 

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