TST: split test_groupby.py

[jreback]

closes #20696

[codecov]

Codecov Report

Merging #20781 into master will increase coverage by <.01%.
The diff coverage is n/a.

@@            Coverage Diff             @@
##           master   #20781      +/-   ##
==========================================
+ Coverage   91.84%   91.84%   +<.01%     
==========================================
  Files         153      153              
  Lines       49305    49305              
==========================================
+ Hits        45284    45286       +2     
+ Misses       4021     4019       -2

Flag	Coverage Δ
#multiple	90.24% <ø> (ø)	⬆️
#single	41.89% <ø> (ø)	⬆️

Impacted Files	Coverage Δ
pandas/util/testing.py	84.79% <0%> (+0.2%)	⬆️

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