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It is a 95 atx and ok check codes and diaphragmIs this car an ATX or MTX? What year?
That nut is an odd size. I use an adjustable wrench. The valve is very difficult to remove from the tube because it's on so tight. Best to take the whole thing out, tube and all, and place the valve in a vice.
However, I've never known a malfunctioning EGR system to cause a rough idle. Best to start by pulling the codes to see if they tell you anything: http://wiki.wikisho.com/wiki/EEC_Self_Test_Procedure
Do this even if the Check Engine Light hasn't come on. Very few of the codes cause that to happen.
Next up is to check the EGR system. Take the small tube off the back of the valve and attach a length of tubing with the same diameter. Now suck on the tube. You should hear the diaphragm in the valve flopping back and forth. If not, a new valve is needed. Next, start the car and suck on the tube again. The revs should go down. If not, the EGR nostrils in the intake behind the throttle body are blocked. Remove the TB to clean them (the bottom two. The upper nostrils are for the IAC).