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A COMMON wire is necessary to power the Nexia. You do not have a common with only 4 wires. Is there an unused wire coming out of the wall in the bundle that we can use to common?
Not to ground but to 24 volt common from transformer.
Usually there will be a C on furnace board just like thermostat.If you can give me model on furnace I will tell you where to connect it. re you there so you can verify the presence of the 5th wire now?