Gretl uses GNU autoconf.  Here's the quick way to get going:

  ./configure
  make
  make check
  make install

* You may want to do "./configure --help" first to see what options are
  available.  

* By default the installation goes under /usr/local.  To install
  elsewhere use "./configure --prefix=/your/prefix".

* Packagers who are using DESTDIR when building a gretl package
  should use the "--disable-xdg-utils" option so that gretl's XDG
  files get installed to DESTDIR rather than to the standard system
  location.

* On systems where GNU make is not the default you may need to use the
  "--with-gmake" option to ./configure.
  
See the Gretl User's Guide, Appendix C ("Building gretl") for further 
details [ http://gretl.sourceforge.net/#man ]