Retrieve data from DBnomics.
The package is available on CRAN, GitHub (mirror) and GitLab.
Find all providers currently contained in DBnomics at https://db.nomics.world/providers.
Check out the package vignette.
The blog posts by MACRO.ECPREMAP.FR are especially helpful.
There also exist libraries for Python and Julia
Brand T (2020). rdbnomics: Download DBnomics Data. R package version 0.6.4, https://CRAN.R-project.org/package=rdbnomics.