The Linked Data paradigm recently emerged as a simple mechanism, based on the Web, to integrate data and knowledge, permitting an interoperable publication and exchange of information. Linked Data is increasingly used in different fields because it allows us not only to interlink data from different sources but also to uncover meaningful relationships among them. However, a crucial issue in this context is the underlying data quality. Incomplete, inconsistent or inaccurate data may strongly affect the results leading to unreliable conclusions. The aim of this paper is to show the usefulness of Linked Data to build an observatory of societal progress as well as the importance of data quality in building such use cases. Finally, Structural Equation Modeling (SEM) is applied in building the HER Observatory (Health, Economic, Research), which assesses the impact of Research and Development (R&D) on a countries’ economic performance and healthcare.