The exhaust gas return (recirculation) valve is present on most modern cars with emissions controls on them, though not all emissions-controlled cars have them.
Its purpose is to allow a tiny amount of gas from your exhaust back into the air/fuel intake of your engine. This has the effect of lowering the temperature in the combustion chamber by diluting the air/fuel mixture with gases that will not burn.
The lower temperature results in lower production of nitric oxide (NO), and nitrogen dioxide (NO2). Nitric oxide is flammable, and nitrogen dioxide can cause lung damage, creates smog, and can react to form nitric acid when released into the air.
This wondrous little device does not put the exhaust gas into your intake all the time, and when it does, it is a precisely measured amount. The EGR Valve usually does not deliver any exhaust gas when the engine is cold, or when you have the throttle wide open. If the valve is giving you too much exhaust gas you will probably see slow, hesitant acceleration. If the valve is stuck shut, and not delivering any exhaust gas, you will most likely get knocking and pinging.
If you suspect that your EGR valve is not opening, and your car is older (has a carburetor), you probably want to check for vacuum leaks first, since vacuum was what controlled them before computerized engine controls became more all-encompassing. If your car is a newer model, with fuel injection, you will probably want to get a diagnostic tester, and see what error codes you can get from your engine.
If you do have a late model car, and you end up testing it yourself, be skeptical of the codes that you get. If your car did not come equipped with an EGR vavle, it can still give you errors about it. If it gives you an error about the EGR, but you cannot even find it, try calling the parts department at your local dealer, and ask how much one is. If your car has one, they can tell you how much it is. Buy it from them, you will be sure to get the one with the proper sized orifice for your engine. If your car does not have one, you will hear them searching the catalog for it endlessly. Before it has gone on too long, explain the situation to him so he does not get too weirded out by it. Who knows, he may be able to point you toward the next thing to check.
While researching this writeup, I was impressed the most with this: EGR valves
supposedly have gone from being a liability to your performance in the 1970's, to being able to actually
increase performance when they are designed properly. Since lowering the combustion chamber temeperature lowers the chance of
predetonation, it allows the person programming the timing of your car to advance it a little bit more, making that much more power. I do not know if this offsets the amount of fuel/air mix that your car is being deprived of as it
sucks on its own tailpipe, but you should at least get better performance than you would with an equal amount of fuel/air being burned at the higher temperature.