The citations should come directly from the source, and the details will depend on how they've licensed it. There's a lot more to open-source licensing, but when you're just doing the citing proper attribution is the main thing you need to concern yourself with.
Here's one example from the St. Louis Fed database, on their data series for GDP:
US. Bureau of Economic Analysis, Real Gross Domestic Product
[A191RL1Q225SBEA], retrieved from FRED, Federal Reserve Bank of St.
Louis; https://fred.stlouisfed.org/series/A191RL1Q225SBEA, October 24,
Here's another from ICPSR (https://www.icpsr.umich.edu/icpsrweb/ICPSR/studies/32241?classification=ICPSR.I.A.3.):
United States Department of Commerce. Bureau of the Census,
United States Department of Labor. Bureau of Labor Statistics, and
United States Department of Agriculture. Economic Research Service.
Current Population Survey, December 2010: Food Security Supplement.
ICPSR32241-v1. Ann Arbor, MI: Inter-university Consortium for
Political and Social Research [distributor], 2011-12-16.
In my experience most data series have a citation right on the page now days. If it doesn't, try looking in the site's FAQ, or elsewhere on their site for how they wish to be cited.