I doubt this is a filter issue, but I suspect it is a fuel pump issue.
Basically, what happens is if you put an air filter that allows more air in then the pump needs to be able to produce enough pressure so that that there is enough fuel available to match that air.
Cold starts are the time when air/fuel mixture is most important.
So, let's start with checking the pressure and go from there.
https://www.2carpros.com/articles/how-to-check-fuel-system-pressure-and-regulator
If the fuel pressure is okay, then here is a guide that will get us started on other possible causes that can cause this:
https://youtu.be/dCjmRL3p4Cs
I am attaching the process from the manual that will help with checking the pressure as well.
Please run through this and let me know what questions you have.
Thanks
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Thursday, November 25th, 2021 AT 7:13 PM