In Matlab R2016b, dynare_config returns:

Configuring Dynare ...
[mex] Generalized QZ.
[mex] Sylvester equation solution.
[mex] Kronecker products.
[mex] Sparse kronecker products.
[mex] Local state space iteration (second order).
[mex] Bytecode evaluation.
[no]  k-order perturbation solver.
[mex] k-order solution simulation.
[no]  Quasi Monte-Carlo sequence (Sobol).
[mex] Markov Switching SBVAR.

Then, if you type which k_order_perturbation; dynare_config you get:

Configuring Dynare ...
[mex] Generalized QZ.
[mex] Sylvester equation solution.
[mex] Kronecker products.
[mex] Sparse kronecker products.
[mex] Local state space iteration (second order).
[mex] Bytecode evaluation.
[mex] k-order perturbation solver.
[mex] k-order solution simulation.
[mex] Quasi Monte-Carlo sequence (Sobol).
[mex] Markov Switching SBVAR.

Thanks to @JohannesPfeifer for pointing this out.

This problem exists on OS X, Windows, and Linux. Need to see with which version of Matlab this started