There seems to be a problem with Math::BigInt. The Makefile.PL recommends that the "recommends" be updated, so I included a little update in the script. This worked for me:

#!/usr/bin/perl

use strict;
use warnings;
use CPAN;
use Net::SFTP;

CPAN::Shell->install(

"Math::BigInt",
"Math::BigInt::FastCalc",
"Math::BigInt::GMP",
"Math::BigInt::Pari",
"Math::BigRat",
"bignum",
"Crypt::DSA",
"Crypt::DH");

my %args = ( user => 'user',
             password => 'password',
             debug => '1');

my $sftp = Net::SFTP->new('localhost', %args);
print "Connected.....\n" if $sftp;
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