My furnace will not shut off by the thermostat.I installed a new thermostat and still will not shut off or change from emergence heat to heat pump.is there a relay switch at the furnace I can replace.

Yes, there is a fan switch attached to the plenum that needs to be replaced or adjusted. Some units have a small "button" type and others have the type that is adjustable. Look here: How to Adjust and Test Your Furnace Fan Limit Switch (http://heaters-home-heating.knoji.com/how-to-adjust-and-test-your-furnace-fan-limit-switch/)http://knoji.com/images/user/furnace-limit-switch-location.jpg
Alternatively, it could be that you have a stuck fan relay. If it's running on high speed it could be the fan relay. You will have to use an ohm meter to know, but a quick adjustment of the fan/limit switch on plenum will rule that out. I have seen wires melted together in t-stat wires, too, but it's rare. http://knoji.com/images/user/hw-fan-limit-diagram.jpg