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Can you help on how to set Phalcon CentOS?
The installation should be the same as described here: http://docs.phalconphp.com/en/latest/reference/install.html#linux-solaris-mac
Simply use yum to install the required packages.
As @Phillipp says, follow the standard installation instructions on the docs, the following specific packages are required to compile phalcon with success:
sudo yum install gcc make
sudo yum install php-devel