Try to use the Quandl API. It is free. If you want to make more than 50 calls in a day you need to request an API key.

Here is the link to the webpage to learn about the Quandl R package.

The example on this page uses data from FRED about the GDP. Take a look at the FRED website and all of the data available. Also try out the visualization tools.

# install.packages("Quandl")
library(Quandl)
mydata <- Quandl("FRED/GDP")
mydata
plot(mydata)

mydata <- Quandl("FRED/GDP", start_date="2001-12-31", end_date="2005-12-31")
plot(mydata)

mydata <- Quandl("FRED/GDP", collapse="annual")
Error: { "quandl_error": { "code": "QELx01", "message": "You have exceeded the anonymous user limit of 50 calls per day. To make more calls today, please register for a free Quandl account and then include your API key with your requests." } }

Note that there are different ways to download data from FRED. When downloading time series data it is best to download it in a time series R format, such as ts.

mydata = Quandl("FRED/GDP", type="ts")
mydata
          Qtr1      Qtr2      Qtr3      Qtr4
1947   243.080   246.267   250.115   260.309
1948   266.173   272.897   279.497   280.656
1949   275.370   271.692   273.262   270.984
1950   281.209   290.735   308.510   320.320
1951   336.372   344.455   351.774   356.579
1952   360.195   361.414   368.084   381.241
1953   388.472   392.259   391.696   386.521
1954   385.924   386.716   391.596   400.348
1955   413.753   422.226   430.925   437.787
1956   440.491   446.771   451.983   461.278
1957   470.578   472.835   480.315   475.681
1958   468.353   472.786   486.653   500.380
1959   511.063   524.241   525.196   529.322
1960   543.347   542.697   546.012   541.063
1961   545.949   557.430   568.228   581.624
1962   595.176   602.580   609.575   613.132
1963   622.679   631.835   644.960   654.840
1964   671.149   680.757   692.807   698.424
1965   719.248   732.369   750.184   773.104
1966   797.328   807.153   820.798   834.864
1967   846.046   851.058   866.614   883.201
1968   911.135   936.297   952.347   970.129
1969   995.419  1011.361  1032.016  1040.741
1970  1053.528  1070.110  1088.461  1091.462
1971  1137.812  1159.355  1180.313  1193.585
1972  1233.807  1270.122  1293.837  1332.023
1973  1380.680  1417.595  1436.813  1479.069
1974  1494.654  1534.220  1563.396  1603.004
1975  1619.553  1656.448  1713.812  1765.867
1976  1824.509  1856.944  1890.500  1938.413
1977  1992.534  2060.165  2122.387  2168.716
1978  2208.688  2336.563  2398.866  2482.159
1979  2531.555  2595.909  2670.388  2730.705
1980  2796.523  2799.938  2860.044  2993.525
1981  3131.799  3167.251  3261.203  3283.536
1982  3273.809  3331.281  3367.072  3407.810
1983  3480.321  3583.844  3692.257  3796.121
1984  3912.774  4015.000  4087.378  4147.606
1985  4237.010  4302.297  4394.563  4453.105
1986  4516.344  4555.245  4619.627  4669.396
1987  4736.231  4821.459  4900.509  5022.670
1988  5090.615  5207.707  5299.486  5412.713
1989  5527.352  5628.429  5711.556  5763.444
1990  5890.835  5974.665  6029.504  6023.332
1991  6054.867  6143.612  6218.425  6279.296
1992  6380.798  6492.299  6586.548  6697.553
1993  6748.182  6829.594  6904.222  7032.844
1994  7136.259  7269.847  7352.255  7476.661
1995  7545.296  7604.923  7706.531  7799.493
1996  7893.146  8061.535  8159.043  8287.078
1997  8402.060  8551.940  8691.756  8788.320
1998  8889.732  8994.738  9146.521  9325.650
1999  9447.103  9557.005  9712.280  9926.101
2000 10031.031 10278.340 10357.445 10472.285
2001 10508.121 10638.384 10639.486 10701.317
2002 10834.445 10934.752 11037.057 11103.834
2003 11230.078 11370.653 11625.137 11816.827
2004 11988.403 12181.398 12367.744 12562.163
2005 12813.729 12974.083 13205.445 13381.629
2006 13648.904 13799.794 13908.498 14066.370
2007 14233.226 14422.313 14569.675 14685.330
2008 14668.445 14812.974 14842.983 14549.949
2009 14383.885 14340.417 14384.145 14566.511
2010 14681.063 14888.600 15057.660 15230.208
2011 15238.371 15460.926 15587.125 15785.312
2012 15973.881 16121.851 16227.939 16297.349
2013 16475.440 16541.390 16749.349 16999.888
2014 17031.324 17320.921 17622.257 17735.933
2015 17874.715 18093.224 18227.689 18287.226
2016 18325.187 18538.039 18729.130 18905.545
2017 19057.705 19250.009 19500.602 19738.887
ts.plot(mydata)

mydata = Quandl("FRED/GDP", type="ts", start_date="2001-12-31", end_date="2005-12-31")
ts.plot(mydata)

mydata = Quandl("FRED/GDP", type="ts", collapse="annual")
mydata
Time Series:
Start = 1947 
End = 2017 
Frequency = 1 
 [1]   260.309   280.656   270.984   320.320   356.579   381.241   386.521   400.348   437.787
[10]   461.278   475.681   500.380   529.322   541.063   581.624   613.132   654.840   698.424
[19]   773.104   834.864   883.201   970.129  1040.741  1091.462  1193.585  1332.023  1479.069
[28]  1603.004  1765.867  1938.413  2168.716  2482.159  2730.705  2993.525  3283.536  3407.810
[37]  3796.121  4147.606  4453.105  4669.396  5022.670  5412.713  5763.444  6023.332  6279.296
[46]  6697.553  7032.844  7476.661  7799.493  8287.078  8788.320  9325.650  9926.101 10472.285
[55] 10701.317 11103.834 11816.827 12562.163 13381.629 14066.370 14685.330 14549.949 14566.511
[64] 15230.208 15785.312 16297.349 16999.888 17735.933 18287.226 18905.545 19738.887
ts.plot(mydata)

Look up the unemployment rate on FRED.

mydata = Quandl("FRED/UNRATE", type="ts")
mydata
      Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec
1948  3.4  3.8  4.0  3.9  3.5  3.6  3.6  3.9  3.8  3.7  3.8  4.0
1949  4.3  4.7  5.0  5.3  6.1  6.2  6.7  6.8  6.6  7.9  6.4  6.6
1950  6.5  6.4  6.3  5.8  5.5  5.4  5.0  4.5  4.4  4.2  4.2  4.3
1951  3.7  3.4  3.4  3.1  3.0  3.2  3.1  3.1  3.3  3.5  3.5  3.1
1952  3.2  3.1  2.9  2.9  3.0  3.0  3.2  3.4  3.1  3.0  2.8  2.7
1953  2.9  2.6  2.6  2.7  2.5  2.5  2.6  2.7  2.9  3.1  3.5  4.5
1954  4.9  5.2  5.7  5.9  5.9  5.6  5.8  6.0  6.1  5.7  5.3  5.0
1955  4.9  4.7  4.6  4.7  4.3  4.2  4.0  4.2  4.1  4.3  4.2  4.2
1956  4.0  3.9  4.2  4.0  4.3  4.3  4.4  4.1  3.9  3.9  4.3  4.2
1957  4.2  3.9  3.7  3.9  4.1  4.3  4.2  4.1  4.4  4.5  5.1  5.2
1958  5.8  6.4  6.7  7.4  7.4  7.3  7.5  7.4  7.1  6.7  6.2  6.2
1959  6.0  5.9  5.6  5.2  5.1  5.0  5.1  5.2  5.5  5.7  5.8  5.3
1960  5.2  4.8  5.4  5.2  5.1  5.4  5.5  5.6  5.5  6.1  6.1  6.6
1961  6.6  6.9  6.9  7.0  7.1  6.9  7.0  6.6  6.7  6.5  6.1  6.0
1962  5.8  5.5  5.6  5.6  5.5  5.5  5.4  5.7  5.6  5.4  5.7  5.5
1963  5.7  5.9  5.7  5.7  5.9  5.6  5.6  5.4  5.5  5.5  5.7  5.5
1964  5.6  5.4  5.4  5.3  5.1  5.2  4.9  5.0  5.1  5.1  4.8  5.0
1965  4.9  5.1  4.7  4.8  4.6  4.6  4.4  4.4  4.3  4.2  4.1  4.0
1966  4.0  3.8  3.8  3.8  3.9  3.8  3.8  3.8  3.7  3.7  3.6  3.8
1967  3.9  3.8  3.8  3.8  3.8  3.9  3.8  3.8  3.8  4.0  3.9  3.8
1968  3.7  3.8  3.7  3.5  3.5  3.7  3.7  3.5  3.4  3.4  3.4  3.4
1969  3.4  3.4  3.4  3.4  3.4  3.5  3.5  3.5  3.7  3.7  3.5  3.5
1970  3.9  4.2  4.4  4.6  4.8  4.9  5.0  5.1  5.4  5.5  5.9  6.1
1971  5.9  5.9  6.0  5.9  5.9  5.9  6.0  6.1  6.0  5.8  6.0  6.0
1972  5.8  5.7  5.8  5.7  5.7  5.7  5.6  5.6  5.5  5.6  5.3  5.2
1973  4.9  5.0  4.9  5.0  4.9  4.9  4.8  4.8  4.8  4.6  4.8  4.9
1974  5.1  5.2  5.1  5.1  5.1  5.4  5.5  5.5  5.9  6.0  6.6  7.2
1975  8.1  8.1  8.6  8.8  9.0  8.8  8.6  8.4  8.4  8.4  8.3  8.2
1976  7.9  7.7  7.6  7.7  7.4  7.6  7.8  7.8  7.6  7.7  7.8  7.8
1977  7.5  7.6  7.4  7.2  7.0  7.2  6.9  7.0  6.8  6.8  6.8  6.4
1978  6.4  6.3  6.3  6.1  6.0  5.9  6.2  5.9  6.0  5.8  5.9  6.0
1979  5.9  5.9  5.8  5.8  5.6  5.7  5.7  6.0  5.9  6.0  5.9  6.0
1980  6.3  6.3  6.3  6.9  7.5  7.6  7.8  7.7  7.5  7.5  7.5  7.2
1981  7.5  7.4  7.4  7.2  7.5  7.5  7.2  7.4  7.6  7.9  8.3  8.5
1982  8.6  8.9  9.0  9.3  9.4  9.6  9.8  9.8 10.1 10.4 10.8 10.8
1983 10.4 10.4 10.3 10.2 10.1 10.1  9.4  9.5  9.2  8.8  8.5  8.3
1984  8.0  7.8  7.8  7.7  7.4  7.2  7.5  7.5  7.3  7.4  7.2  7.3
1985  7.3  7.2  7.2  7.3  7.2  7.4  7.4  7.1  7.1  7.1  7.0  7.0
1986  6.7  7.2  7.2  7.1  7.2  7.2  7.0  6.9  7.0  7.0  6.9  6.6
1987  6.6  6.6  6.6  6.3  6.3  6.2  6.1  6.0  5.9  6.0  5.8  5.7
1988  5.7  5.7  5.7  5.4  5.6  5.4  5.4  5.6  5.4  5.4  5.3  5.3
1989  5.4  5.2  5.0  5.2  5.2  5.3  5.2  5.2  5.3  5.3  5.4  5.4
1990  5.4  5.3  5.2  5.4  5.4  5.2  5.5  5.7  5.9  5.9  6.2  6.3
1991  6.4  6.6  6.8  6.7  6.9  6.9  6.8  6.9  6.9  7.0  7.0  7.3
1992  7.3  7.4  7.4  7.4  7.6  7.8  7.7  7.6  7.6  7.3  7.4  7.4
1993  7.3  7.1  7.0  7.1  7.1  7.0  6.9  6.8  6.7  6.8  6.6  6.5
1994  6.6  6.6  6.5  6.4  6.1  6.1  6.1  6.0  5.9  5.8  5.6  5.5
1995  5.6  5.4  5.4  5.8  5.6  5.6  5.7  5.7  5.6  5.5  5.6  5.6
1996  5.6  5.5  5.5  5.6  5.6  5.3  5.5  5.1  5.2  5.2  5.4  5.4
1997  5.3  5.2  5.2  5.1  4.9  5.0  4.9  4.8  4.9  4.7  4.6  4.7
1998  4.6  4.6  4.7  4.3  4.4  4.5  4.5  4.5  4.6  4.5  4.4  4.4
1999  4.3  4.4  4.2  4.3  4.2  4.3  4.3  4.2  4.2  4.1  4.1  4.0
2000  4.0  4.1  4.0  3.8  4.0  4.0  4.0  4.1  3.9  3.9  3.9  3.9
2001  4.2  4.2  4.3  4.4  4.3  4.5  4.6  4.9  5.0  5.3  5.5  5.7
2002  5.7  5.7  5.7  5.9  5.8  5.8  5.8  5.7  5.7  5.7  5.9  6.0
2003  5.8  5.9  5.9  6.0  6.1  6.3  6.2  6.1  6.1  6.0  5.8  5.7
2004  5.7  5.6  5.8  5.6  5.6  5.6  5.5  5.4  5.4  5.5  5.4  5.4
2005  5.3  5.4  5.2  5.2  5.1  5.0  5.0  4.9  5.0  5.0  5.0  4.9
2006  4.7  4.8  4.7  4.7  4.6  4.6  4.7  4.7  4.5  4.4  4.5  4.4
2007  4.6  4.5  4.4  4.5  4.4  4.6  4.7  4.6  4.7  4.7  4.7  5.0
2008  5.0  4.9  5.1  5.0  5.4  5.6  5.8  6.1  6.1  6.5  6.8  7.3
2009  7.8  8.3  8.7  9.0  9.4  9.5  9.5  9.6  9.8 10.0  9.9  9.9
2010  9.8  9.8  9.9  9.9  9.6  9.4  9.4  9.5  9.5  9.4  9.8  9.3
2011  9.1  9.0  9.0  9.1  9.0  9.1  9.0  9.0  9.0  8.8  8.6  8.5
2012  8.3  8.3  8.2  8.2  8.2  8.2  8.2  8.1  7.8  7.8  7.7  7.9
2013  8.0  7.7  7.5  7.6  7.5  7.5  7.3  7.2  7.2  7.2  6.9  6.7
2014  6.6  6.7  6.7  6.3  6.3  6.1  6.2  6.2  5.9  5.7  5.8  5.6
2015  5.7  5.5  5.5  5.4  5.5  5.3  5.2  5.1  5.0  5.0  5.0  5.0
2016  4.9  4.9  5.0  5.0  4.7  4.9  4.9  4.9  5.0  4.9  4.6  4.7
2017  4.8  4.7  4.5  4.4  4.3  4.3  4.3  4.4  4.2  4.1  4.1  4.1
ts.plot(mydata)

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