dynare/dynare++/doc/compiling-notes.txt

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It is suggested that you compile Dynare++ with gcc version 3.4. If you have
other versions of gcc installed on your system, you need to select version
3.4, for example,
$ make "CC=gcc-3.4"
For linking, you need to compile the required linear algebra libraries
(blas, atlas, etc). Alternatively, you can install precompiled versions of
these -- make sure that you select the version that matches your CPU.
For example, if you have an SSE2 capable CPU, then on Debian GNU/Linux
(etch) you need to install the following packages to get the precompiled
linear algebra libraries:
lapack3-dev
atlas3-sse2-dev
Then set the environment variable LD_LIBRARY_PATH, eg
$ export LD_LIBRARY_PATH /usr/lib/sse2
before calling make. This will include the shared libraries in the search
path for ld.