MPG/MPEG files:

sudo apt-get install mpgtx
mpgjoin vid1.mpg vid2.mpg vid3.mpg -o combinedvideo.mpg

WMV files (same codec/properties):

ls -la > list.txt
#edit list and sort/format lines as
# file 'video1.wmv'
# file 'video2.wmv'
# file 'video3.wmv'

#or

ls -1 *.wmv | sort -n | sed "s/\(.*\)/file '\1'/" > list.txt

ffmpeg -f concat -safe 0 -i list.txt -c copy outputfilename.wmv

https://stackoverflow.com/questions/49371422/how-to-merge-two-videos-without-re-encoding/49373401#49373401