Recently, retrieval-based language models (RLMs) have received much attention. However, most of them leverage a pre-trained retriever with fixed parameters, which may not adapt well to causal language models. In this work, we propose Grouped Cross-Attention, a novel module enabling joint pre-training of the retriever and causal LM, and apply it to long-context modeling. For a given input sequence, we split it into chunks and use the current chunk to retrieve past chunks for subsequent text generation. Our innovation allows the retriever to learn how to retrieve past chunks that better minimize the auto-regressive loss of subsequent tokens in an end-to-end manner. By integrating top-$k$ retrieval, our model can be pre-trained efficiently from scratch with context lengths up to 64K tokens. Our experiments show our model, compared with long-range LM baselines, can achieve lower perplexity with comparable or lower pre-training and inference costs.