EGR = Exhaust Gas Recirculation and is done to lower the Nitrogen Oxide emissions. It's also very common on gas engines. Recycling the exhaust actually lowers the combustion temps slightly and contributes to lower NOX. Other than eliminating the soot that ultimately starts to clog the tube, I'm not sure you'll see much benefit in disconnecting this.

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LRG
1987 300D Turbo 175K
2006 Toyota Prius, efficent but no soul
1985 300 TDT(130K miles of trouble free motoring)now sold