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Weigh your flour; or measure it by gently spooning it into a cup, then sweeping off any excess.
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Next, sift the flour, potato flour, and dry milk through a strainer; this is an important step to prevent lumps in the dough. (If you're using instant mashed potatoes rather than potato flour you can skip this sifting step.)
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To make the dough: Combine all of the dough ingredients and mix and knead — by hand, mixer, or bread machine — to make a soft, smooth dough.
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Place the dough in a lightly greased bowl, cover, and let it rise for 60 minutes, until it's nearly doubled in bulk.
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To shape the loaf: Divide the dough into four equal pieces. Shape each piece into a ball, cover the balls, and allow them to rest for 15 minutes.
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On a lightly greased or floured work surface, roll one piece of dough into a 10" circle. Place the circle on a piece of parchment, brush a thin coat of beaten egg on the surface, then evenly sprinkle with 1/3 of the cinnamon sugar, leaving 1/4" of bare dough around the perimeter.
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Roll out a second circle the same size as the first, and place it on top of the filling-covered circle. Repeat the layering process — egg, cinnamon sugar, dough circle — leaving the top circle bare.
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Place a 2 1/2" to 3" round cutter in the center of the dough circle as a guide. With a bench knife or sharp knife, cut the circle into 16 equal strips, from the cutter to the edge, through all the layers.
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Using two hands, pick up two adjacent strips and twist them away from each other twice so that the top side is facing up again. Repeat with the remaining strips of dough so that you end up with eight pairs of strips.
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Pinch the pairs of strips together to create a star-like shape with eight points. Remove the cutter.
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Transfer the star on the parchment to a baking sheet. Cover the star and let it rise until it becomes noticeably puffy, about 45 minutes.
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While the star is rising, preheat the oven to 400°F.
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Brush the star with a thin coat of the beaten egg. Bake it for 12 to 15 minutes, until it's nicely golden with dark brown cinnamon streaks; the center should register 200°F on a digital thermometer.
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Remove the loaf from the oven and allow it to cool for about 10 minutes before serving. Dust with confectioners' sugar and serve warm or at room temperature.
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Store any leftover bread, well wrapped in plastic, at room temperature for several days. Freeze for longer storage. To reheat bread for serving, place it on a baking sheet and tent it loosely with aluminum foil. Place in a preheated 350°F oven, and warm for about 15 minutes, or until it's as hot as you like.