Absolutely, check fuel filters first. If this car is new to you its a good idea to swap them out anyway, then keep a spare set in the trunk in case you get a bad batch of diesel. Make sure you replace both the inline filter and the spin on filter. If that doesn't fix it let us know. Also, how much smoke to you get when you floor it? and what color?
82 300 SD
77 450 SL (gone)