filter.php

<?php
add_shortcode( 'my_filter', function ( $atts ) {
	ob_start();
	?>
    <form method="get">
        <select name="category_name">
            <option value="name1">Name1</option>
            <option value="name2">Name2</option>
        </select>
        <input type="submit" value="Filter">
    </form>
	<?php
	return ob_get_clean();
} );