Debt Collection Harassment

I have had a debt collection agency contact me 100 times a day about a loan that I have never had. They are now threatening to garnish me and put this loan on my chexsystems. I have spoke to them twice & have told them I have no idea what they are talking about. I have even googled the loan place and its been closed for years apparently. They said I was paying on my "loan" and now the bank that I was paying with is either closed or frozen but again I have no idea what they are talking about given I never had a loan not even a payday loan. Somehow they have an address on file that they are claiming is mine yet its a family members. When I told the collection agency that this charge is fraud the guy said "well, thats hard to believe since this is an open and shut case" Im not really sure what to do? They try different tactics every time the last one doesnt work. First they called 100 times from 100 different numbers then they threatened to serve me papers now apparently they gave my case to a "pre-legal" department or company. Sorry if this is all over the place, I just genuinely dont know what to do.