Move Python testing utilities into xgboost module. (#8379)

- Add typehints.
- Fixes for pylint.

Co-authored-by: Hyunsu Philip Cho <chohyu01@cs.washington.edu>

tests/python/test_callback.py

@@ -1,9 +1,12 @@
-from typing import Union
-import xgboost as xgb
-import pytest
 import os
-import testing as tm
 import tempfile
+from contextlib import nullcontext
+from typing import Union
+
+import pytest
+
+import xgboost as xgb
+from xgboost import testing as tm
 
 # We use the dataset for tests.
 pytestmark = pytest.mark.skipif(**tm.no_sklearn())
@@ -271,13 +274,14 @@ class TestCallbacks:
         """Test learning rate scheduler, used by both CPU and GPU tests."""
         scheduler = xgb.callback.LearningRateScheduler
 
-        dpath = os.path.join(tm.PROJECT_ROOT, 'demo/data/')
-        dtrain = xgb.DMatrix(dpath + 'agaricus.txt.train')
-        dtest = xgb.DMatrix(dpath + 'agaricus.txt.test')
+        dpath = tm.data_dir(__file__)
+        dtrain = xgb.DMatrix(os.path.join(dpath, "agaricus.txt.train"))
+        dtest = xgb.DMatrix(os.path.join(dpath, "agaricus.txt.test"))
+
         watchlist = [(dtest, 'eval'), (dtrain, 'train')]
         num_round = 4
 
-        warning_check = tm.noop_context()
+        warning_check = nullcontext()
 
         # learning_rates as a list
         # init eta with 0 to check whether learning_rates work