If the code blinks EGR could that not be interpreted to mean that something in the EGR system has gone wrong? Changing the O2 sensor is great of you need to do it, but it won't clear your EGR code. You have already been pointed in the right direction by your onboard computer.
It's either the EGR valve, or the EGR tube is clogged and needs a cleanout. The former's expensive, and the latter's very difficult to access.

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