Passport (formerly Global Market Information Database) This database is the best resource for economic indicators. It will also contain many statistics that you can use as independent variables.
Example #1: I want historical and forecasted GDP data and inflation rates for the United States.
At the top of the screen, click the link for Search
Scroll down to the section for Economy and Finance and click the plus sign
Click the box next to Annual rates of inflation
Click the plus sign next to GDP
Click the box next to Total GDP and also click the box next to Real GDP Growth
Click the Now Choose Geographies icon at the bottom of the screen
Click the plus sign next to North America and click the box for USA (many other nations can be selected)
Click See Data Now
Click Change Time Series and click By Year
Click the boxes for 2000-2020 (or any other years that you need) and click Apply
Click the Excel icon to download data