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

#or

ffmpeg -f concat -safe 0 -i video1.wmv video2.wmv video3.wmv -c copy outputfilename.wmv

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

Script for multiple conversions based on filename pattern. Converts all related files that have a number at the end and start with 1:

#!/bin/bash
SAVEIFS=$IFS
IFS=$(echo -en "\n\b")
for f in *1.wmv
do
  shortfile=${f::-5}
  echo "file '"$shortfile"1.wmv" > list.txt
  echo "file '"$shortfile"2.wmv" >> list.txt
  echo "file '"$shortfile"3.wmv" >> list.txt
  ffmpeg -f concat -safe 0 -i list.txt -c copy $shortfile.wmv
  rm list.txt
done
IFS=$SAVEIFS