Dear Lorenzo,

I've just seen one post from you asking for hints to read SDMX data in R.
I don't know if you still need to read SDMX datasets in R. In case, you 
can use the rsdmx package hosted here https://github.com/opensdmx/rsdmx
With the OECD sample you mention, you can do as follows:

#install devtools (required to install rsdmx from github)|||
|require(devtools) |

#install & load rsdmx
install_github("rsdmx", "opensdmx")|
require(rsdmx)

#read data
sdmx <- 
readSDMX("http://stats.oecd.org/restsdmx/sdmx.ashx/GetData/MSTI_PUB/G_XGDP.AUS+AUT+BEL+CAN+CHL+CZE+DNK+EST+FIN+FRA+DEU+GRC+HUN+ISL+IRL+ISR+ITA+JPN+KOR+LUX+MEX+NLD+NZL+NOR+POL+PRT+SVK+SVN+ESP+SWE+CHE+TUR+GBR+USA+OECD+EU28+EU15+NMEC+ARG+CHN+ROU+RUS+SGP+ZAF+TWN/OECD?startTime=2000&endTime=2014")
df <- as.data.frame(sdmx)


You can look at the wiki that gives some more information 
https://github.com/opensdmx/rsdmx/wiki

Hope this helps,
Emmanuel**
<http://fr.linkedin.com/in/emmanuelblondel1>

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