Looks like the gpg command is not found. Do you have GnuPG installed?
I would recommend you install the GPGTools Suite.
It provides the gpg command, but also GPG integration for Apple Mail and related graphical utilities. This may be more than you need or want.
You could also install GnuPG with Homebrew:
$ brew install gnupg
Homebrew is a package manager similar to for example yum or apt in different Linux distributions, but for macOS. You may prefer this if you are already using Homebrew or are planning to use it to install more (command line) tools in the future.
If you just want to verify the checksum (not the signature), you can use
shasum -a 256 <filename>
without installing anything.