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Below is a sample build error in installing pg:

Gem::Ext::BuildError: ERROR: Failed to build gem native extension.
/home/artheman/.rbenv/versions/2.2.2/bin/ruby -r ./siteconf20150725-10808-1ozkvgc.rb extconf.rb
checking for pg_config... no
No pg_config... trying anyway. If building fails, please try again with
 --with-pg-config=/path/to/pg_config
checking for libpq-fe.h... no
Can't find the 'libpq-fe.h header
*** extconf.rb failed ***
Could not create Makefile due to some reason, probably lack of necessary
libraries and/or headers.  Check the mkmf.log file for more details.  You may
need configuration options.

Provided configuration options:
	--with-opt-dir
	--without-opt-dir
	--with-opt-include
	--without-opt-include=${opt-dir}/include
	--with-opt-lib
	--without-opt-lib=${opt-dir}/lib
	--with-make-prog
	--without-make-prog
	--srcdir=.
	--curdir
	--ruby=/home/artheman/.rbenv/versions/2.2.2/bin/$(RUBY_BASE_NAME)
	--with-pg
	--without-pg
	--enable-windows-cross
	--disable-windows-cross
	--with-pg-config
	--without-pg-config
	--with-pg_config
	--without-pg_config
	--with-pg-dir
	--without-pg-dir
	--with-pg-include
	--without-pg-include=${pg-dir}/include
	--with-pg-lib
	--without-pg-lib=${pg-dir}/lib

extconf failed, exit code 1

Gem files will remain installed in /home/artheman/.rbenv/versions/2.2.2/lib/ruby/gems/2.2.0/gems/pg-0.18.2 for inspection.
Results logged to /home/artheman/.rbenv/versions/2.2.2/lib/ruby/gems/2.2.0/extensions/x86-linux/2.2.0-static/pg-0.18.2/gem_make.out

To solve the issue:

sudo apt-get install libpq-dev
gem install pg
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