In this study the neural network based air quality prediction model was tested in a typical coastal city, Macau, with Latitude 22°10'N and Longitude 113°34'E. By using five years of air quality and meteorological data recorded at an ambient air quality monitoring station between 2001 and 2005, it was found that the performance of the ANN model was generally improved by increasing the number of hidden neurons in the training phase. However, the performance of the ANN model was not sensitive to the change in the number of hidden neurons during the prediction phase. Therefore, the improvement in the error statistics for a complex ANN model in the training phase may be only caused by the overfitting of the data. In addition, the posterior PDF of the parameter vector conditional on the training dataset was investigated for different number of hidden neurons. It was found that the parametric space for a simple ANN model was globally identifiable and the Levenberg-Marquardt backpropagation algorithm was able to locate the optimal parameter vector. However, the parameter vector might contain redundant parameters and the parametric space was not globally identifiable when the model class became complex. In addition, the Levenberg-Marquardt backpropagation algorithm was unable to locate the most optimal parameter vector in this situation. Finally, it was concluded that the a more complex MLP model, that fits the data better, is not necessarily better than a simple one.