I believe it's better to change the filters before doing Diesel Purge otherwise the DP may clean out the dirty filters too and bring some of the junk through your injectors. Plus new filters will ensure unobstructed flow of the DP for better cleaning of the injectors.

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2004 VW Jetta TDI (manual)

Past MB's: '96 E300D, '83 240D, '82 300D, '87 300D, '87 420SEL