Define feature_names_in_. (#7526)

* Define `feature_names_in_`.
* Raise attribute error if it's not defined.

tests/python/test_with_sklearn.py

@@ -372,6 +372,9 @@ def test_boston_housing_regression():
         assert mean_squared_error(preds3, labels) < 25
         assert mean_squared_error(preds4, labels) < 350
 
+        with pytest.raises(AttributeError, match="feature_names_in_"):
+            xgb_model.feature_names_in_
+
 
 def run_boston_housing_rf_regression(tree_method):
     from sklearn.metrics import mean_squared_error
@@ -1017,6 +1020,8 @@ def test_pandas_input():
     train = df.drop(columns=['status'])
     model = xgb.XGBClassifier()
     model.fit(train, target)
+    np.testing.assert_equal(model.feature_names_in_, np.array(feature_names))
+
     clf_isotonic = CalibratedClassifierCV(model,
                                           cv='prefit', method='isotonic')
     clf_isotonic.fit(train, target)