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Some brands of aftermarket exhaust use a lubricant in conjunction with their mandrel bending equipment to help make smooth bends. If they don't wash out the tubing, it burns off during initial running. It can take a little while to burn all of it off because the catback is not the hottest part of the exhaust.
Sport Compact Car magazine reported running into this minor problem with some of the catbacks they installed on their Project WRX. They said some smoked badly, while others did so to varying degrees.
My catback gave off no visible smoke upon installation but I think I smelled a faint burning smell for a little few days, nothing major.
The smell is normal. Sometimes you will get a bit of black smoke come out as well. Just run the car hard on the freeway a bit and it should go away in about 2-3 days. As for several weeks, dunno, just drive the car hard a bit and see if that lessens the smell.
yeah i got the hks hiper. i love it, but i want my car a little louder so...next is the up/down pipe. i had the exhaust for a week and a half and still smells, but maybe its taking long cause i dont drive my car that much. bought the thing in 7-03 and it has 3200mi on her.