If your coolant level has not dropped in your Degass bottle, then it is probably not the EGR cooler. When the EGR Cooler goes so does your coolant. If you have lost coolant, your exhaust has that sweet coolant smell to it then it is pretty much a dead give away that the EGR Cooler has burst.
If you are not loosing coolant, as was mentioned or indicated in the three previous replies you could have stuck turbo vanes resulting in no boost and incomplete fuel burning. I think though dependant on the severity the smoke could be White/blueish.
EGR problem is easy to verify, a bit expensive to have repaired (oil cooler should be changed at the same time) and costs about 2,500.00.
Turbo issue is a bit of a pain(because of disassembly for cleaning) but it can sometimes be remedied with removal, cleaning and re-installation.
Another possibility is a stuck or cracked injector. Do you have a Scanguage, or other means to check codes?
Eric