I have created a small section on
http://www.dynare.org/DynareWiki/BuildingDynareFromSource for Mac OS X. There are some problems (specifically building MEX files for Octave and Matlab), which I have not figured out yet. In addition, running make pdf causes my version of pdflatex to fail. Before spending more time figuring this out, could you please verify that these problems are specific to my platform?