A single neural network model developed from a limited amount of data usually lacks robustness. Thus combining multiple neural networks can enhance the neural network model performance. In this paper, a Bayesian combination method is developed for nonlinear dynamic process modelling and compared with simple averaging. Instead of using fixed combination weights, the estimated probability of a particular network being the true model is used as the combination weight for combining that network. A nearest neighbour method is used in estimating the network error for a given input data point, which is then used in calculating the combination weights for individual networks. The prior probability is estimated using the SSE of individual networks on a sliding window covering the most recent sampling times. It is shown that Bayesian combination generally outperforms simple averaging.