Modern software engineering processes have shifted from traditional upfront requirements engineering (RE) to a more continuous way of conducting RE, particularly including data-driven approaches. [Question/problem] However, current research on data-driven RE focuses more on leveraging certain techniques such as natural language processing or machine learning than on making the concept fit for facilitating its use in the entire software development process. [Principal ideas/results] In this paper, we propose a research agenda composed of six distinct research directions. These include a data-driven RE infrastructure, embracing data heterogeneity, context-aware adaptation, data analysis and decision support, privacy and confidentiality, and finally process integration. Each of these directions addresses challenges that impede the broader use of data-driven RE. [Contribution] For researchers, our research agenda provides topics relevant to investigate. For practitioners, overcoming the underlying challenges with the help of the proposed research will allow to adopt a data-driven RE approach and facilitate its seamless integration into modern software engineering. For users, the proposed research will enable the transparency, control, and security needed to trust software systems and software providers.