I have heard that headers will give you a little more top end performance and you will be able to feel it on the freeways. I don't know if they make your ride louder or not. But they will help the engine breath a little better.
Also an exhaust is not for performance ever... new mufflers are for being loud! REALLY loud! But I only say that because I have exhaust system envy!
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Removing the cat is illegal in most states. You will not pass smog inspection and might get fined.
I'd like to know know if there is an exhaust that isn't much louder than stock that makes a significant improvement. I would much rather have a sleeper than something you know is hot or just plain noisy.
The headers on BMW are decent. They are not like the exhaust manifolds seen on many cars. That is to say, bimmers already have headers.
The only headers that give you a gain require a whole new exhaust system to fit. They're made by a company called supersprint. The system is expensive, and imho totally not worth the meager gain. Pulleys don't do shit either. What you honestly want are S52 camshafts and some special software. That's more worth the money.
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pulley's will free up a little, but they will not make a huge difference on an otherwise stock car. They'll free up a few, but not give you a performance edge over any car that you are not otherwise currently outperforming. As for exhaust, no real gains on an otherwise stock or lightly modded car. Same for a CAI. However, if you were to follow the adive above and get the cams and software (make sure you get the software for an engine with the cam swap), then you are looking at some good HP gains. Then if you do the headers w/exhaust as mentioned above ect then you will be look at noticeable gains from the otheers. Not as much as the software or cams, but you might actually get the HP increase that is claimed.
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