Installation errors are usually not due to the component itself.

In most of the cases when you receive an installation errors there is a problem on your server or Joomla configuration. Usually wrong folder permissions prevent extensions to be installed and copied correctly by the Joomla installer, moreover the folder that is used by Joomla to install extensions, by default named 'tmp', often is set as not writable.
Additionally, pay attention that even if the 'tmp' folder is marked as 'writable' the path could be wrong so ensure that the folder points to the correct directory in the server file system.

Check your Joomla global configuration for the 'tmp' path and under 'System Information'->'Directory permissions' ensure that the folder is writable in green color, if it looks in red as unwritable you can't install any extensions on your Joomla! website.

A typical error thrown by the Joomla! installer when it's unable to install extensions is: 'Warning - Copy file failed' or 'JFolder :: create : Infinite Loop Detected Warning:Failed to move file!' or 'Warning Component Install: The XML file did not have an administration element' or 'Unable to find install package'.

Tip: to be sure that the installer issue is not limited to this component, try to install other extensions checking if the same problem occurs. If you are able to install other extensions, ensure that the package that you are installing is marked following the Joomla version you are running.

You can even try to change the installation method, use the 'Install from URL', 'Install from folder' or the Joomla! auto updater as reported here: https://storejextensions.org/faq/how-can-i-update-the-gdpr-component.html