Its brand new and I did follow the directions what could I try next to fix it

What is the model number of the stat & to which terminals are wires connected?

Only 4 wires... Green wire is on G... Yellow is on Y red is on RC and white is on W

Only 4 wires... Green wire is on G... Yellow is on Y red is on RC and white is on W

Unless the thermostat has batteries, you probably need to run a wire from the common terminal on the furnace to the "C" terminal on the stat. What is the model number of the stat? I need that to look up a wiring diagram.

If you didn`t turn off the breaker before install you might have fried the transformer ( hence there is no 24 volts coming to the tstat) with fried transformer