Jon Ellingsen, Vegard H. Larsen, and Leif A. Thorsrud, "News Media vs.
FRED-MD for Macroeconomic Forecasting," Journal of Applied
Econometrics, Vol. 37, No. 1, 2022, pp. 63-81.

We are grateful to the Dow Jones Newswires Archive for sharing their
data with us for this research project.  Due to the use of proprietary
data, we are not allowed to share the raw data. However, other
investigators can potentially obtain the data independently by
contacting the Dow Jones company directly or by using their Factiva
services.

The dataset includes roughly 22.5 million news articles published by
the Dow Jones from January 1995 to April 2020. All the text is
business-focused and written in English. It covers a large range of
Dow Jones's news services, including content from The Wall Street
Journal.

Leif Anders Thorsrud 
leif.a.thorsrud [AT] bi.no