Macroeconomic indicators are excellent for student projects: interest rates, inflation, real GDP, unemployment rates, mortgage delinquency rates, housing starts, bond defaults, prices of various goods and commodities, exchange rates, and hundreds of other indices. For many analyses, lags in the indices are useful, such as interest rates in period t regressed on inflation in period t-1.

The student project shows that you can apply the statistical techniques to real data. Do not worry that the analysis might not show a statistically significant effect. Many variables affect the economy, and finding a link between just two or three of them is not easy. Do not try to include all the potential explanatory variables affecting the response, or your student project becomes unwieldy. Pick two or three variables that seem related, choose lags if needed, and perform the analysis.

This candidate choose unemployment rates and mortgage delinquencies, two variables with a clear intuitive relation. She chooses a lag, analyzes the relations, and writes a good report.