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I'm going to use the same source as sock, which is James Akin, who is the head apologist at Catholic Answers or [catholicanswers.com] Here is what he has to say:

The concept of an after-death purification from sin and the consequences of sin is also stated in the New Testament in passages such as 1 Corinthians 3:11–15 and Matthew 5:25–26, 12:31–32.

The doctrine of purgatory, or the final purification, has been part of the true faith since before the time of Christ. The Jews already believed it before the coming of the Messiah, as revealed in the Old Testament (2 Macc. 12:41–45) as well as in other pre-Christian Jewish works, such as one which records that Adam will be in mourning "until the day of dispensing punishment in the last years, when I will turn his sorrow into joy" (The Life of Adam and Eve 46–7). Orthodox Jews to this day believe in the final purification, and for eleven months after the death of a loved one, they pray a prayer called the Mourner’s Kaddish for their loved one’s purification.

Jews, Catholics, and the Eastern Orthodox have always historically proclaimed the reality of the final purification. It was not until the Protestant Reformation in the sixteenth century that anyone denied this doctrine.

I will try and find some quotes by early church doctors [from before the bible was put together] to give also as examples.

And here are the quotes I promised:

""Accordingly the believer, through great discipline, divesting himself of the passions, passes to the mansion which is better than the former one, viz., to the greatest torment, taking with him the characteristic of repentance from the sins he has committed after baptism. He is tortured then still more--not yet or not quite attaining what he sees others to have acquired. Besides, he is also ashamed of his transgressions. The greatest torments, indeed, are assigned to the believer. For God's righteousness is good, and His goodness is righteous. And though the punishments cease in the course of the completion of the expiation and purification of each one, yet those have very great and permanent grief who are found worthy of the other fold, on account of not being along with those that have been glorified through righteousness." Clement of Alexandria,Stromata,6:14(A.D. 202)

"As often as the anniversary comes round, we make offerings for the dead as birthday honours." Tertullian,The Chaplut,3(A.D. 211)

"[A] woman is more bound when her husband is dead...Indeed,she prays for his soul,and requests refreshment for him meanwhie, and fellowship(with him) in the first resurrection;and she offers(her sacrifice) on the anniversary of his falling asleep." Tertullian, On Monogamy,10(A.D. 216)

"When he has quitted his body and the difference between virtue and vice is known he cannot approach God till the purging fire shall have cleansed the stains with which his soul was infested. That same fire in others will cancel the corruption of matter, and the propensity to evil." Gregory of Nyssa,Sermon on the Dead,PG 13:445,448 (A.D. 394)

The rest of the quotes can be found here.