  We express the mean and variance terms in a double exponential regression
model as additive functions of the predictors and use Bayesian variable
selection to determine which predictors enter the model, and whether they enter
linearly or flexibly. When the variance term is null we obtain a generalized
additive model, which becomes a generalized linear model if the predictors
enter the mean linearly. The model is estimated using Markov chain Monte Carlo
simulation and the methodology is illustrated using real and simulated data
sets.
