How do I download a dataset using Python?

Here's a basic Quandl data call:
import quandl
data = quandl.get("FRED/GDP")

By default, the data is returned as a pandas dataframe.  Quandl can also return data as a numpy array.  To explicitly specify the data download format, do this:

data = quandl.get("FRED/GDP",returns="pandas") 	# pandas data series
data = quandl.get("FRED/GDP",returns="numpy")		# numpy array

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