Mathematics major for data science
If you know that you want to become a data scientist, you can pretty much rule out pure mathematics.  Note, I'm not saying that pure mathematicians cannot become data scientists, but it's not the most natural transition.  Between the other two branches, stats is probably the most natural path.  Both will having you think about applying math to answer real world problems, but stats is very specifically geared towards focusing on larger scale data analysis.

EDIT:
@rocinante mentions the need for software skills, and suggests CS over econ as a minor.  I would say this really depends; if you are in a bigger data science team, you'll probably work alongside dedicated programers, who will be able to implement your analytics more efficiently than you would be expected to as an analyst.  If you know that you want to apply D.S. techniques to either finance or business, domain specific knowledge is helpful.  Additionally, if you know that it is your desire to end up in data science, you'll be able to look for ways to use programing along the way, and keep those skills sharp.