This is a selective guide to sources of international, macro-level economic statistics.
The basic question to ask when looking for economic data is "Who cares about what I am studying?" Ideally, look for an organization that is concerned with your research as part of its mission. Examples include the International Labor Organization focusing on labor research; the International Monetary Fund focusing on monetary and fiscal concerns; the World Bank focusing on development. What exists for one country may not exist for another country. Data is generally inconsistent across borders. Always look at the methodology.