Thanks to the comments I could compile the kernel by setting up the good environment:
export ARCH=arm
export PATH=/home/bob/ti/mcsdk_1_01_00_02/linux-devkit/sysroots/i686-arago-linux/usr/bin/:$PATH
export CROSS_COMPILE=arm-arago-linux-gnueabi-
and then for the TMDSLCDK138 board :
make tisdk_omapl138-lcdk_defconfig
make uImage
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