Data are legitimate, citeable products of research, just as other research outputs, so you must cite data.
The Harvard citation style uses the following format:
Author names. Date (in round brackets). Title of data (in single quotation marks). Available at: URL (or doi if available). (Accessed: date) (not required when doi used).
e.g. Institute for Social and Economic Research. (2020). ‘Understanding Society: Waves 1-10, 2009-2019 and Harmonised BHPS: Waves 1-18, 1991-2009'. Available at: 10.5255/UKDA-SN-6614-14.
The Vancouver citation style uses the following format:
Author names. Title of resource [medium type]. Host institution name: Physical location; Year of publication. [Date accessed]. Available from: Identifier
e.g. Institute for Social and Economic Research. Understanding Society: Waves 1-10, 2009-2019 and Harmonised BHPS: Waves 1-18, 1991-2009 [data file]. University of Essex: Colchester, Essex; 2020. [cited 29 May 2021]. Available from: http://doi.org/10.5255/UKDA-SN-6614-14
Further information on different citation styles with examples for a host of material types can be found via our References, citations and avoiding plagiarism pages.
For more information, see the DCC guide 'How to cite datasets and link to publications', 'Why cite data?' from Datacite and the IASSIST 'Quick guide to data citation'.