Just as books and journals are cited in a standard way to acknowledge and identify research sources, data also benefits from citation. According to DataCite, data citation:
Check out DataCite's examples and recommended format for data citation.
Author (Year). Title with Version. Publisher. Access Information.
Doe, J., & Smith, J. (2012). Title of data set [Data set]. doi: 10.5494/8569855
Chicago (Bibliography style)
Doe, J., and Smith, J. The best data set ever (accessed February 4, 2018). doi: 10.5494/8569855
Citing Medicine (ICJME Recommendations)
Kraemer MUG, Sinka ME, Duda KA, Mylne A, Shearer FM, Brady OJ, Messina JP, Barker CM, Moore CG, Carvalho RG, Coelho GE, Van Bortel W, Hendrickx G, Schaffner F, Wint GRW, Elyazar IRF, Teng H, Hay SI. The global compendium of Aedes aegypti and Ae. albopictus occurrence [dataset]. 2015 Jun 30 [cited 2015 Oct 23]. Dryad Digital Repository. Available from: https://datadryad.org/resource/doi:10.5061/dryad.47v3c Referenced in doi: 10.7554/eLife.08347
Kingsolver JG, Hoekstra HE, Hoekstra JM, Berrigan D, Vignieri SN, Hill CE, Hoang A, Gibert P, Beerli P (2001) Data from: The strength of phenotypic selection in natural populations. Dryad Digital Repository. doi:10.5061/dryad.166
You can find many other examples, presented by style, at the Dataset Citation site developed by Michigan State University's library.
Here are several examples of citation formats used when referencing data:
National Center for Health Statistics. National Ambulatory Medical Survey, 1994. Public-use data file and documentation. ftp://ftp.cdc.gov/pub/Health_Statistics/NCHS/. 1996.
The Digital Curation Centre published this guide in 2011 that explains how researchers can create links between their publications and the underlying data, so that each can be found from the other. It also provides advice for repository managers and data archivists wishing to make their data holdings easier to cite.