Furnace filters remove the airborne dirt particles from the air when the furnace is running. When the filter is dirty, the furnace efficiency drops because of less air flow. When the filter is not inserted correctly into the furnace, the air flow is restricted, causing the furnace to work harder.
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Air filters may have an arrow on the frame that shows you in what direction the filter should be inserted into the furnace. The arrow should be pointing toward the evaporator coil or toward the air handler if the filter is installed at the return grill.
Some pleated filters do not have arrows, but one side of the filter is sturdier than the other side or may have a wire meshing. The stronger side is the backside and should be facing the air handler or evaporator coils.
Fiberglass filters have one side that is denser than the other side. Some of these filters have a different color to note the denser side. The filter is inserted so the air passes through the side that is less dense first. Media filters follow the same rule.