Economics uses a variety of citation styles. Check with your professor about which style you should use.
These sites will help you to cite most common sources in a number of citation styles.
APA 7th edition recommends including a citation to a data set when the author has either "(a) conducted secondary analyses of publicly available data or (b) archived their own data being presented for the first time in a the current work."
O'Donohue, W. (2017). Content analysis of undergraduate psychology textbooks (ICPSR 21600; Version V1) [Data set]. ICPSR. https://doi.org/10.3886/ICPSR36966.v1
More information can be found at the APA Style site.