The EGR does indeed do what JTDman says but I found that its correct function makes a huge difference to performance. If it gets sooted up and sticks open or closed or its movement is restriced in any way, performance, economy and smokiness will be affected. When the EGR valve opens it adds exhaust gas into the inlet manifold, effectively leaning off the fuel air mixture, Therefore a sticky EGR valve will have the same effect as a sticky throttle on an old carburettor car. This in turn has a knock on effect on the workings of the turbo, which after all only works on exhaust pressure.
It's all very chicken and egg, that's for sure.