If you have a California market car (or some other market with low pollution limits) then you may well have an EGR valve. It will likely be under the intake manifold behind the idle control valve. There will be an inlet pipe that wraps around the back of the block from the exhaust manifold. The outlet pipe will go up to the intake manifold. There will be a vacuum line that will go to a small solenoid, typically at the left front strut tower. You can test the EGR operation by disconnecting the vacuum line from the solenoid. Applying vacuum (sucking on it) should cause the EGR valve to open and close -you can either hear the valve open/close or see/feel the shaft in the middle of the EGR valve move. You can test the EGR solenoid by using the diagnsotic socket. If you have an EGR valve, it is a maintenance item requiring periodic inspection and cleaning, however, on later cars they rarely seem to need attention. Removing the EGR valve is a PITA so don't bother unless you have good reason to suspect a problem with it and have checked all other possibilities such as the others have mentioned. They are rather expensive to replace.
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Dave -not to be confused with a real expert