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TST add common tests for linear models for shape consistency of coef#20604

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glemaitre wants to merge 1 commit intoscikit-learn:mainfrom
glemaitre:coef_shape_consistency
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TST add common tests for linear models for shape consistency of coef#20604
glemaitre wants to merge 1 commit intoscikit-learn:mainfrom
glemaitre:coef_shape_consistency

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@glemaitre
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Related to #19693

Add common test to check the shape of coef in the linear models

@adrinjalali
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@glemaitre should this keep going?

@glemaitre
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I like this PR to remain open (at least I can find it). It does mean this is a priority for the moment.

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