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Possibly a blown fuse in the furnace ot air handler. Most have a small 3 or 5 amp auto type fuse on control board.Let s start there
If fuse blew again we have to have a short somewhere. Tell me about your wiring at thermostat.hat color wires went to what terminals on old thermostat and where do you have them on new?
Cold should not effect anything that would cause the short.Lets do this.Disconnect thermostat wires at furnace board.Then connect the R and W terminal on board together and see if heat works or if fuse blows.If heat works this way, we know short is external from furnace in wiring or thermostat.If fuse still blows most likely a shorted furnace board.