There is no valve adjustment required on these cars. I agree, replace the filters first. Before a cold start, make sure you let your glow plugs do their job. They don't stop glowing as soon as the light goes out, they keep going for about 30 seconds and if you let them glow that long I'm sure your cold idle will be better, assuming all your glow plugs work. If you feel no turbo boost, check for clogging in the plastic vacuum line going to your injection pump. If it's clogged it will prevent the turbo from kicking in.

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2004 VW Jetta TDI (manual)

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