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Do you mean broken off and stuck inside or broken off and fallen out? Broken off and fallen out in this case is a good thing. Sounds like you mean the exhaust is broken at the manifold but what isn't clear is which piece, the manifold or the exhaust pipe. The manifold is a part of the engine, the exhaust pipe is connected to the manifold via the flange you speak of so if it is broken (coming from the engine as a base point) before the flange you need to change the manifold (less likely - hardly ever breaks - usually made of cast iron or cast aluminium) or where they typically break just after the flange (exhaust pipes are notorious for rusting out here, you will need to replace the front exhaust pipe and donut (gasket within the flange). Due to the high heat in this area it is extremely common for the bolts holding the pipe to the manifold to not just be ceased to it (lube will probably do no good) but to actually weld (or forge if you will) themselves to the metal of the pipe, in which case you need to cut them out with a torch. A good mechanic can usually do this without damaging the manifold. That is why it is a good thing if they have broken off and fallen out, much easier to change then welded in bolts (which would not fall out). I say replace the front exhaust pipe because without knowing which year your protege is or if it has an after market exhaust I don't know for sure if it is a one piece system or more than one piece. If it is a one piece you will need to either change the whole thing or do some cutting and welding to piece a section in. In which case, I do not recommend cutting the new piece you purchase but if the old exhaust on the vehicle is in alright shape from the muffler back you may be able to section it off and just replace the front section. Piecing it together would require at least one more piece, one to contact the old pipe to the new which would also need to be welded on but this method can still be cheaper (most of the time). Anything other than a simple in/out replacement will require torches and obviously if the bolts are welded in it is not a simple in/out job.
popping out of the tail pipe is usually a tell tail sign of a timing issue. Pull the timing cover and hand crank the engine. If the marks on the crank and cam line up check vacuum. If needle fluctuates roughly 2in/hg take note(possible burned valves) Inspect the plugs for signs of carbon fouling(fuel injector issue). if the plugs show good burning with a yellowish white check compression. If compression is good check cylinder leak down. if cylinder leak down is less than 30%. check exhaust back pressure.
Rebuilt gearbox probably... unfortunately!
If the HOLD light in the in strument cluster is flashing at you, it is giving you a transmission diagnostic code (like a kind of Morse Code). A transmission specialist or a Mazda Dealer will be able to read this code and plug their computer into the cars computer, and tell you what is wrong.
You may mean the flex pipe which is a component in the exhaust piping (before or after the catalytic converter, depending on model and year of the car) that serves to alleviate stress along the exhaust system by permitting some vertical and lateral movement of the exhaust section that follows it. This prevents broken welds in the system, among other things.