The concat filter is available in recent versions of ffmpeg. Here is the official documentation.
Instructions

This is easiest to explain using an example:

ffmpeg -i input1.mp4 -i input2.webm \
-filter_complex ‘[0:0] [0:1] [1:0] [1:1] concat=n=2:v=1:a=1 [v] [a]’ \
-map ‘[v]’ -map ‘[a]’ output.mkv

On the -filter_complex line, the following:

‘[0:0] [0:1] [1:0] [1:1]

tells ffmpeg what streams to send to the concat filter; in this case, streams 0 and 1 from input 0 (input1.mp4 in this example), and streams 0 and 1 from input 1 (input2.webm).

concat=n=2:v=1:a=1 [v] [a]’

This is the concat filter itself. n=2 is telling the filter that there are two input files; v=1 is telling it that there will be one video stream; a=1 is telling it that there will be one audio stream. [v] and [a] are names for the output streams, to allow the rest of the ffmpeg line to use the output of the concat filter.

Note that the single quotes ‘ ‘ around the whole filter section are required.