It is increasingly important to cite your data sources, just like you would normally cite a journal article that you used to support your research.
Here is an example of a data set citation:
Kerker, Bonnie, and Donna Eisenhower. New York City Community Health Survey, 2002. ICPSR27064-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2010-05-24. doi:10.3886/ICPSR27064.v1