Warm the milk in a small saucepan until it bubbles, then remove from heat. Mix in the shortening and sugar; stir until melted. Add cold water and let cool until lukewarm.
Pour milk into a large bowl. Add egg and yeast; mix well. Beat in 3 cups of flour and let stand for 20 minutes.
Sift in baking powder, baking soda, salt and 1 cup flour. Stir in the remaining flour, 1/2 cup at a time, beating well after each addition. When the dough has pulled together, turn it out onto a lightly floured surface and knead until smooth and elastic, about 8 minutes. Lightly oil a large bowl, place the dough in the bowl and turn to coat with oil. Cover with a damp cloth and let rise in a warm place until doubled in volume, about 1 hour.
Divide the dough into twelve equal pieces. Divide each piece in half and form into 24 rolls. Place the rounds in a lightly greased 9x13 inch baking pans or on lightly greased baking sheets. Cover the rolls with a damp cloth and let rise until doubled in volume, about 40 minutes. Meanwhile, preheat oven to 350 degrees F (175 degrees C).
Bake in preheated oven for 15 to 20 minutes, until golden.