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The dump valves that give the 'sneezing' sound as you put it will be any dump value that vents to atmosphere. Thats the noise you hear. If you buy a re-circulating dump valve that will dump the turbo's air back in to the intake system and you will here nothing. As on a std car.
I think that's yet to be 100% proven either way. I have a Forge v.t.a. dump valve, and I'm very impressed with it. As for fuel ecomony - YES, you'll use more fuel.........but only cos you'll want to take it to full boost to hear the WHOOOSH!
Hi i have had a blitz valve on my car and it never made to different sounds it also had a trumpet on it... however my HKS one does... it maks a flutter at low boost and a high pitched whistle at higher boost