Ignacio, Thank you for the list of dev libraries. I had many of them installed, but the crucial missing one was libgtk2.0-dev - and also some Gnome libraries that don't matter under Kubuntu. Since Gnome is based on GTK I had assumed that everything required would be in the non-development version of these libraries, but my assumption was wrong.
For future reference, it might be helpful to add a note to the text on Gretl's dependencies advising users to install the -dev variants of the libraries from the relevant repository. This will always pick up the standard non-development version if it is not present. Gordon