I am doing a study on time series data. In a lot of examples, ARIMA model is used to forecast a time series data. On what basis ARIMA model chosen to predict a time series is my primary doubt.
Is ADF(Dickey–Fuller test) or Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test is used to justify the reason for choosing ARIMA model?
In few cases ARIMA model chosen based on the stationary data, ADF having a parameter p-value to show the time series data as stationary. In that case, what can be the minimum possible p-value to decide the data as stationary?
And is there any other better ways to decide which model can be used to forecast the time series data apart from ARIMA.
Any suggestions are highly appreciated. Thanks in advance.