This is another page where I won't have much to say. In this case, that's because lots of other people have written well about building resumes. I'm going to link to some of them below. But first, why would you make a resume? Can't you just use your CV?
No.
That's the nicest way I can say it.
Your CV is full of crap that no one in industry (or really, anywhere else) cares about. We're time constrained. For anyone who isn't a manager hiring for their own team, recruiting is a secondary task that doesn't contribute to our promotions. Consequently, we're not interested in what you did as undergrad or a list of papers you've started but haven't published. You need to - and should be able to - succinctly describe your most impressive accomplishments on a single page.
You need a one page resume. Here is some good advice about how to write the content for it. There are a lot of good resume templates out there; your university's career center should have a couple, and you can pick one you like - my own resume (available here) was developed using a template from Cornell's career center.
There are a couple of points I'd encourage you to keep in mind:
Definitely work with your university's career center on this. They're experts at evaluating resumes; the same rules that apply to your resume apply to everyone else's. You should be able to get a competent resume in 2-3 iterations with their feedback.
If you have MBA friends or friends in industry, their feedback would also be great. Because it's only a page of mostly bullet points, it doesn't take long for them to read and give you feedback. Like the career center, they'll offer a perspective on how your resume looks to a non-economist.
People read from top to bottom and left to right. Consequently, be biased to putting the most relevant/impressive items in your experience near the top. Most templates will also have you list the summary information (e.g. company and position) on the left for this reason. For a generic PhD student, the most impressive things are:
Your PhD - this is particularly important if you're applying outside of the JOE. Everyone on the economics job market has a PhD, but if you're applying for a data scientist position through a non-JOE channel, it's likely you're competing with a bunch of people who only have a master's degree. The PhD gives you a leg up in getting a first round interview.
Any prior "real world" work experience - this is a huge leg up if you have it. RA and TA jobs give you valuable skills, but part of what industry interviewers want to know is whether or not you can live in the non-academic world. So if you worked for a couple years before graduate school in any industry job (or really, any non-university job; high school teaching or non-profit experience is still good), put that near the top.
You shouldn't feel bad about filling up the one page with text. You don't want your resume to be hard to read, but at the same time - especially with the rise of automated tools to scan resumes - it can be helpful to fit in as much information as possible. Think about that when you pick your resume template; my biggest concern with my own current resume is that the column on the left - which takes up about 1/5 of the page - is barely used. I could probably reposition the section headings in a way that frees up that space.
While you need to be concise to get that one page resume, feel free to have a much wordier LinkedIn profile jammed with keywords like "machine learning", "A/B testing", "time series forecasting", etc. There's no space limit there and a lot of profiles are "discovered" by machines trawling the site for profiles with enough keywords. Said differently, you have a second audience on LinkedIn that isn't human and so it makes sense to have a more detailed profile.
Don't skip making a small "personal interests" or "hobbies" section at the bottom. You would think this makes no difference, but on the margin, it absolutely does. In a half dozen of my interviews, I got asked about my experience trying to train my misbehaving cat. A friend of a friend swears that he got two dozen interviews from listing "buffet eating" as a hobby. The personal interests section should be short, but it is a good opportunity to stand out. Remember, your interviewers on the job market are probably going to interview at least 80 people for a job just while they're at they ASSA. As they're selecting interviews, there will be some candidates on the margin. At that margin, they will often pick a candidate who seems less boring.
Let me address one common objection right now. Sometimes, it seems like you have enough relevant experience that a one page resume can't contain it all. This *would* be true - if you were using the same resume to apply to every job. But different experiences will be relatively more attractive for different job openings. For example, some jobs care a lot about teaching experience and not so much about the web-scraping project you did. For other jobs it's the opposite. So, if you have diverse experiences relevant for different kinds of jobs, then you need different resumes for different kinds of jobs.
Now, developing a different resume for every job would be a lot of work with low marginal benefit. But developing a resume for different industries can be worthwhile. I'll admit right now that I only had one resume, but I did write separate cover letters - one for tech, one for economic consulting, one for the federal reserve, and one for other government positions. In them, I described my skills in different orders. In the tech cover letter, I first described my "big data" experience from the Census Bureau. In economics consulting, I also started with my Census Bureau experience but focused more on the people interaction side of my job. Because I'd had this job with the Census Bureau during graduate school, I listed it first, above my PhD on my resume. But mentioning my PhD from Cornell came next.
For most applications (especially through the JOE) it's expected you have a cover letter. This is another area where I see people create one form letter and then wash their hands. I understand the logic, since there are many places cover letters don't really matter. I can't speak for other industries, but cover letters are mostly a waste of time when applying to large tech firms. I've never heard of people reading them at Amazon, Google, etc.
That said, the impact of cover letters is non-linear. As mentioned above, many times it will be zero. However, in cases where people actually read them, you can use them to succinctly signal credible interest in a firm based on their geographic location or some other appeal of working at that firm or industry. So if there are a couple jobs you really care about, I would take time to write a great cover letter.
Again - there's a high chance you miss. I spent two hours writing a custom cover letter to Amazon and no one read it. The flip side is that I know for certain that some places read and care about cover letters.
When I was on the job market, there was an economist position open at the Attorney General's office in NY. This was not a posting, I'd normally have considered, but I had personal reasons that made me want to at least talk to the hiring manager.
Growing up in Minnesota, my mother had worked part time from an office in the back of our house as a psychologist. She loved her job, but there had been a period where she'd almost quit out of frustration. One of the major insurers had avoided paying her for years by putting her patients through lengthy bureaucratic loops before ultimately denying them meaningful coverage. I remembered her crying in frustration night after night as she explained what was happening to my dad. She talked about giving up her practice.
Then the attorney general of Minnesota sued the insurer for this (and a ton of other malfeasance, not just with psychologists). He won the case. The insurer changed their practices and my mom's patients were able to get coverage / reimbursement. I truly believe that if the attorney general had not brought and won that case, she would have quit her job.
I used the cover letter to tell this story, and it was the first thing the hiring manager mentioned when we met for the interview. Stories like this have high impact - which is discussed more in the "Behavioral Interviews" section.