Data is a key ingredient for your empirical research project. Extensive databases or datasets may scare you off at the beginning.
It would be best if you became the “owner” of your data. In other words: know your data very well, and try to find mistakes early on (so that you can check back with your data provider soon after delivery).
In case you want to collect your own data (e.g., using web scraping or Application Programming Interfaces (APIs)), starting with your data collection early on is crucial. When it comes to web data, please follow the suggestions in this paper and corresponding web companion. New to scraping and APIs? Check out Tilburg University’s open course on web scraping and APIs.