What do I connect the yellow wire too. It is saying I have an open circuit and the heating system shuts down for 3 hours

On a heat only system, the only terminals on the stat that are used are the R and W. What color wires are coming out the wall to the stat? And what wires are hooked to what terminals in the furnace? Is this a new stat, and if so, did the system work with the old stat? How was the old stat wired?