In the past, all stations in major markets (meaning, at least, the top 100 MSAs) did individual tests in their market. Today, a lot of groups test in one market and share for similar markets; they rotate the one market that is tested. In the largest markets, each station tests locally.
There are regional differences but after consolidation we found commonalities in many markets, allowing shared testing or rotating market testing. And now that most is done online, one can even do a test that has a percentage of participants in each of several markets.
In smaller markets, stations owned by groups use consensus lists from similar stations in the group that do test. In the past, pre-consolidation, stations in nearby smaller rated markets might share test costs and rotate the location. When I supervised our group's WTNT in Tallahassee, we shared tests with country stations in Albany, GA, and Dothan, AL, which all had the same consultant but different owners.