Let $L$ be a regular language of $A^*$. It might be difficult to prove there is no "direct construction" for the DFA of $L^*$, but in any case, the complexity will remain exponential. Indeed, as shown in [2], for every $n \geqslant 2$, there is a language $L$ of state complexity $n$ such that $L^*$ is of state complexity $3 \cdot 2^{n-2}$. About these complexity questions, you might be interested in the nice comprehensive survey [1] in the Handbook of automata theory.
However, a simple direct construction is possible if $L$ is a prefix code, that is, if $L$ is a set of nonempty words in which any two distinct words are incomparable for the prefix order.
In this case, you can define the automaton ${\cal A} = (P, A, \cdot, 1, 1)$, where $P$ is the set of prefixes of the words of $L$ and the transition function is defined, for all $p\in P$ and $a\in A$, by
$$
p\cdot a = \begin{cases}
pa &\text{if } pa\in P - L,\\
1 &\text{if } pa\in L\\
\emptyset &\text{otherwise}
\end{cases}
$$
This automaton recognises $L^*$. To get the minimal DFA of $L^*$, one can identify the states $u$ and $v$ such that $u^{-1}L^* = v^{-1}L^*$. In practice, the first step is to label by $1$ the root and the leaves of
the tree representing $L$. Then the remaining nodes are numbered by assigning the same number to the nodes $u$ and $v$ such as the subtrees rooted in $u$ and $v$ are equal. This works even for infinite regular prefix codes, as shown in the example below.
Let $L = a(ba)^*a$. It is easy to see that $L$ is a prefix code, represented by the tree
$\hskip 70pt$![](https://cdn.statically.io/img/i.sstatic.net/M6zzDZip.png)
After labelling the tree
$\hskip 50pt$![](https://cdn.statically.io/img/i.sstatic.net/oTybZZIA.png)
One gets the minimal automaton of $(a(ba)^*a)^*$.
$\hskip 95pt$![](https://cdn.statically.io/img/i.sstatic.net/TMZXOrTJ.png)
[1] Gruber, Hermann; Holzer, Markus; Kutrib, Martin. Descriptional complexity of regular languages. Handbook of automata theory. Vol. I. Theoretical foundations, 411-457, EMS Press, Berlin, (2021)
[2] Yu, Sheng; Zhuang, Qingyu; Salomaa, Kai. The state complexities of some basic operations on regular languages. Theoret. Comput. Sci. 125 (1994), no. 2, 315-328.