[ENH] Create a unified Test framework and a Base class for Data Modules in v2

[phoeenniixx]

Is your feature request related to a problem? Please describe.
Currently, the data_modules are tested using standalone tests, I think we should have a unified test framework (like we have one for metrics and models) for data modules as well.
A lot of tests, imo, are duplicate and can be added to the unified test framework. This would also give us a chance to add tags to this module of the package

I think we should also have a Base class for this module, the class that all data modules can inherit from. tTo prevent any code duplication

Additional context
I think we could extend this to D1 layer as well. But I am not sure if this is a good idea, as I think D1 layer is going to stay the same (only one TimeSeries class) for atleast in the near future. So here the test framworks would still work kinda standalone.

[phoeenniixx]

FYI @agobbifbk @fkiraly @PranavBhatP

[Akash504-ai]

Hey @phoeenniixx, is it okay if I take this one if nobody else is working on it?