Yes, yes you can!  This process, also called "stitching," is great if you want to take multiple word documents and make them one so you can continue to edit the document as one.  (Continued editing is the chief advantage of this process.)

The process does has a few limitations so keep these in mind:

• Word will merge the contents where you place your mouse cursor, so position first where you want the document or documents to be merged together-- of course, you can always move the content after.
• Word, as explain below, can insert multiple documents together at a time but does not know intuitively in what order you want them placed.  It will place them in the order that you indicate when you merge, be sure to note your order-- of course, you can always move the content after.
• Formatting is normally retained when merging but the documents themselves may have had different formats to begin with.  You will need to check the new file you have created to be sure formats are consistent.
• I advise starting with a blank new document so that you can retain the integrity of your original files.  Always begin with a new file then, to be safe!

With edits from Microsoft's help article:

How to Merge Multiple Word Documents:

1.  "Insert" tab allows you to subtly merge documents.

2.  Locate "Object", press a small triangle next to it, and click "Text from File" from the dropdown menu.

3.  After that, you can select files to be merged into the current document. By pressing and holding Ctrl to select more than one documents.   You an also "lasso" the documents you want with your mouse.

(Note: Documents placed at the top will be merged in the first place. Therefore, please sort and number each target document in case that you want to keep a certain sequence for your documents. You can reorder them manually below in the "File Name" field too if you are feeling brave!）

Want more information?  Head to the original article here.

That's it!  Your new document should now contain all the prior word documents you created in one.  BE SURE TO SAVE IT and name it something NEW!  You can save your future file as a PDF too, just by using Microsoft's "Export" function (or "Save As" too!) 

For more on how to swiftly convert multiple Documents into a single PDF see this Article.