[TST] Update _select_column_names test case

[Zeroto521]

PR Description

Please describe the changes proposed in the pull request:

the return type of _select_column_names is a list.
A list can't compare with pandas.index via assert_index_equal.

And also rename tests/utils/test__select_column.py → tests/utils/test_select_column.py, keep single _.

This PR resolves #1143.

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[codecov]

Codecov Report

Merging #1152 (74aa528) into dev (a027753) will not change coverage.
The diff coverage is n/a.

@@           Coverage Diff           @@
##              dev    #1152   +/-   ##
=======================================
  Coverage   97.34%   97.34%           
=======================================
  Files          77       77           
  Lines        3240     3240           
=======================================
  Hits         3154     3154           
  Misses         86       86           

[Zeroto521]

The test file name of _select_column_names should be test__select_column_names, because _select_column_names method name strats with _.

[Zeroto521]

It seems that this problem was fixed on #1155.