Good one to keep an eye on is Menu 7.00 (Engine coolant temperature). Should normally run around 92C (in stationary traffic, or crusing on the motorway).
If it is less than 90C, chances are it WILL be affecting your fuel economy.
Whats causing it? Themostats - both of them. E70 diesels have 2 thermostats, one for the EGR and one for the main engine coolant.
If either of these is even slightly stuck open, the engine never reaches its full working temperature. Results in:
ECU thinks engine is cool, and keeps injecting more fuel than needed,
AND
Combustion isn't as efficient as it could be (well not more than 40 odd percent anyway!

Plenty of info on the net on how to change them here:
Main thermostat replacement text
EGR thermostat replacement Video
