The monitors simply tell you that the ECU has not seen specific conditions that it determines is normal for each system under test. In your case, it generically means that the ECU has not yet determined if the Catalytic converter, Oxygen sensor, Oxygen sensor Heater (built into the oxygen sensor) and EGR systems are functioning correctly. Replacing all those parts may or may not cause the monitor to complete depending on what exactly is wrong. You will need to inspect the EGR Valve, Catalytic Converter and oxygen sensor(s) for proper operation.
If I was going to test each of these I would:
Actuate the EGR valve at idle momentary. While the valve is open the engine idle should be rough.
Oxygen Sensor Heater
Measure if voltage is being supplied to the heater element(s) and also measure the resistance of the heater element.
Graph the sensor; it should have a sinusoid like shape.
Drive the vehicle for several miles on the freeway. Then use a non-contact thermal scanner to measure the temperature of the catalyst and the pipes connected to it. The catalyst should be at a considerably higher temperature.
Please understand that I can't make any guarantees of success for these tests. There are based on my limited understanding of your vehicle as well as your technical ability.