That would be your EGR.
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It sounds like it may be getting sticky.
If it gets really bad, your car won't run.
If you are burning a lot of oil, things get worse because the exhaust running through the EGR valve is full of oil that sticks to the EGR and gums it up.
The EGR valve is much like a solenoid valve that allows exhaust gas to get into the intake to reduce engine temperature and pollution, but an EGR valve can be closed, open, or 3-4 steps of partially open.
It's also called a step motor, that opens the valve in increments.
The "Canadian" EGR isn't listed at Rockauto for the Protege5 but it is listed for the 2L Protege.
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It has nothing to do with Canadian or American emissions.
Canada has a generally colder climate and the EGRs were failing first in Canada because a cold EGR will have exhaust gunk condense inside of it.
They made a new EGR with coolant lines attached to warm up the EGR and it was first introduced in Canada.
(A lot of Americans were phoning Canadian Mazda dealers to have the Canadian EGR shipped to them. It wasn't available in the USA for a while.)
You'll need a stubby 1/4" ratchet handle and socket to remove it, and I believe that you need the JIS screwdriver to take it apart to clean it.
I remember one guy said he put his car in gear and pushed it a bit then hit the P-brake.
That rolled the engine in the engine bay a little bit on it's mounts and gave him a little bit more room to get in there with his 1/4" stubby drive.
Thread 'EGR question.'
EGR question.
You may be able to simply remove and clean your EGR, or replace it with a regular EGR if you're not burning a ton of oil and your winters aren't terribly cold.
The Canadian EGR is a lot more money and is a PITA to install.
My car has 245,000 km on it with the original EGR that is still working fine.
My car doesn't burn any oil though and I don't drive aggressively. (which I assume can foul up the EGR?)