Dynare 6.x incorrectly assumes Suites-Parse lives in the same directory as Octave
The Meson build seems to search for umfpack relative to the octave directory, but that might not be the place it is installed. The Homebrew team ran into this in: https://github.com/Homebrew/homebrew-core/pull/164010
I believe this search should either come through pkg-config or search the whole include path.