I have created a dataset but I have collected data from other sources. How can I write that I used other sources? Do I have to put it into footnotes and bibliography as well?

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Chicago style doesn't directly address dataset citations, but the Webster University guide to Chicago style provides a guideline for citing datasets based on IASSIST recommendations. From this, it seems that yes, you should cite all your original source datasets following the template that they give:

Note 19. Stephen Ansolabehere, Maxwell Palmer, and Amanda Lee, Precinct-Level Election Data, V1 (January 20, 2014), distributed by Harvard Election Data Archive, http://hdl.handle.net/1902.1/21919 UNF:5:5C9UfGjdLy2ONVPtgr45qA==. Bibliographic

Entry Ansolabehere, Stephen, Maxwell Palmer, and Amanda Lee. Precinct-Level Election Data. V1. January 20, 2014. Distributed by Harvard Election Data Archive. http://hdl.handle.net/1902.1/21919 UNF:5:5C9UfGjdLy2ONVPtgr45qA==.

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