These resources from the UNC Writing Center may be of use.
Chicago author-date and American Sociological Association styles are commonly used by economists. Be consistent with whatever style you use.
Here is the sample data set citation the ASA provides in American Sociological Review:
Deschenes, Elizabeth Piper, Susan Turner, and Joan Petersilia. Intensive Community Supervision in Minnesota, 1990–1992: A Dual Experiment in Prison Diversion and Enhanced Supervised Release [Computer file]. ICPSR06849-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2000. doi:10.3886/ICPSR06849.