The quickest route to repair is to have the car plugged into a diagnostic machine which will read off the fault code stored in the ECU (providing the light is still on at this point) and indicate which sensor has failed or whether the fault is more serious.
You can do a very rough and ready check yourself by unplugging sensors one at a time and seeing if any of them change the driving condition which would indicate the most recently unplugged sensor is the faulty one. This method is not foolproof though and reading a fault code off is the better method.
try checking the connections to the EGR valve, if either the vacuum pipe of electrical connection are damaged / corroded then the EGR can be on all time which certainly will hurt performance. Its also possible that its a fault with the EGR valve so its worth removing the valve and cleaning it out with brake cleaner, if it looks particularly clogged then replace it.
If this is OK then check the small vacuum lines to the turbo and its connected control solenoid on the bulkhead, any cracks or leaks can give turbo issues and its best to have the boost pressure measured actually measured with a boost gauge to check that the turbo is healthy and that the sensor is reading correctly