No, you do not have to test stationarity.
Actually, you apply the HP filter for a nonstationary series in order to extract the stationary cyclical component.

确实不需要

啊~~~~终于找到这个答案了

thank you！

dsge模型里通常写入程序的不是对数线性化以后的方程么？那代入得变量也要做对数处理对吧？那比如取了对数以后数据就平稳了，那还要再做个hp滤波滤出周期部分么？或者说这时候的周期部分其实也就是取对数后的序列，是么~？