How to Make It
In a large skillet, heat the oil. Add the cinnamon sticks and star anise and cook over moderate heat until fragrant, 2 to 3 minutes. Add the pumpkin, season with salt and cook, stirring occasionally, until the pumpkin is lightly browned and starting to soften, 10 minutes. Add the milk and simmer until the pumpkin is very soft and the milk has thickened slightly, 10 minutes. Remove the skillet from the heat and let cool briefly; discard the spices.
In a blender, puree the pumpkin, milk and 1/2 teaspoon of salt until smooth. Transfer the blender to the refrigerator and chill until the pumpkin puree is cold, 30 minutes.
Add the yogurt, sugar and 1/2 cup of water to the blender and puree until very smooth. For a thinner consistency, blend in more water, 1/4 cup at a time. Pour the pumpkin lassi into 4 glasses, sprinkle with ground cinnamon and serve chilled.