Algorithm 3.

One–shot approach.

1.	At each DC, obtain the cross–fitted debiased estimator by solving a Dantzig selector problem locally, where ${\beta }^{(\text{m})}$ is estimated by local LASSO.
2.	Send the debiased estimators to the AC and obtain the group statistics.
3.	Perform multiple testing procedure as described in Section 2.5.