Citing the data that you use in your research is critical for a number of reasons.
provides a record of the data you've used in your research;
allows the reader to go to find further information;
extends professional honesty and courtesy--writers have a responsibility to acknowledge using someone else's data.
When citing data, there are many style choices. Check with your professor to see which style (APA, MLA, etc.) you should use. You can find more detailed information on citing information here.
Image source: Reasonist. Used with permission.
APA 7th edition
O’Donohue, W. (2020). Content analysis of undergraduate psychology textbooks (ICPSR 21600; Version V1) [Data set]. ICPSR. https://doi.org/10.3886/ICPSR36966.v1
MLA 8th edition
April 17-May 19, 2019 Online Dating. Pew Research Center, May 2019, pewinternet.org/dataset/may-2019-online-dating/. Accessed 12 Dec. 2020. Dataset.
Chicago 17th edition, author-date
The World Bank. 2020. World Development Indicators. Washington, D.C.: The World Bank. http://data.worldbank.org/data-catalog/world-development-indicators.