ffmpeg provide a commands to merge video files together. Below is an example to merge MPEG2-TS files into 1 files
ffmpeg -i concat:"input\\your1.ts|input\\your2.ts" -vcodec copy -acodec copy output\merge.ts
First, the command use a ffmpeg concat function to merge the 2 files. Then, it merge the 2 files into 1 output file by copying the video and audio frames.
There are other technique to merge video files with FFMPEG. But, personally, I don't like them as they involve too many file container conversion.
However, both technique is restricted to MPEG-1, MPEG-2 PS, DV format