a <- data.frame(geocode_selector = c("36005", "36047", "36061", "36081", "36085"), county_name = c("Bronx", "Kings", "New York", "Queens", "Richmond"))
b <- data.frame(geocode = c("360050002001002", "360850323001019"), jobs = c("4", "204"))

b[, "county_name"] <- NA
for (i in 1:nrow(b)) {
  for (j in 1:nrow(a)) {.
    if (grepl(data.a$geocode_selector[j], b$geocode[i]) == TRUE) {
      b$county_name[i] <- a$county_name[j]
    }
  }
}

b$geocode_selector <- substr(b$geocode,1,5)
b2 <- merge(b, a, all.x=TRUE) #by default it will merge on common column names

b2
  geocode_selector         geocode jobs county_name
1            36005 360050002001002    4       Bronx
2            36085 360850323001019  204    Richmond