I could not get your code to show an error on that line.

Here is how you can test for the file.
Sub ExportFinalColumnToWord()
    Dim wdApp As Word.Application
    Dim myDoc As Word.Document
    Dim mywdRange As Word.Range
    Dim MyColumnA As Excel.Range
    Dim MyColumnB As Excel.Range
    Dim MyColumnC As Excel.Range
    Dim MyColumnD As Excel.Range
    Dim doc As String
    doc = "x:\msword\MyFile.doc"
    If Dir(doc) = "" Then
        MsgBox "Error, file does not exist." & vbLf & doc, vbCritical, "File is Missing"
        Exit Sub
    End If
    On Error Resume Next
    Set wdApp = GetObject(, "Word.Application")
    If Err.Number <> 0 Then
         Set wdApp = CreateObject("Word.Application")
    End If
    On Error GoTo errorHandler
    Set myDoc = wdApp.Documents.Add(Template:=doc)
    wdApp.Visible = True
    GoTo errorExit
    Set MyColumnA = Sheets("MySheet").Range("A1").End(xlDown).Select
    Set MyColumnB = Sheets("MySheet").Range("B1").End(xlDown).Select
    Set MyColumnC = Sheets("MySheet").Range("C1").End(xlDown).Select
    Set MyColumnD = Sheets("MySheet").Range("D1").End(xlDown).Select
    With myDoc.Bookmarks
         .Item("bmMyColumnA").Range.InsertAfter MyColumnA
         .Item("bmMyColumnB").Range.InsertAfter MyColumnB
         .Item("bmMyColumnC").Range.InsertAfter MyColumnC
         .Item("bmMyColumnD").Range.InsertAfter MyColumnD
    End With
    Set wdApp = Nothing
    Set myDoc = Nothing
    Set mywdRange = Nothing
    Exit Sub
    errorExit:
    On Error Resume Next
    Set wdApp = Nothing
    Set myDoc = Nothing
    Set mywdRange = Nothing
    Exit Sub
    errorHandler:
    MsgBox "Unexpected error: " & Err.Number & vbLf & Err.Description
    Resume errorExit
End Sub