Your thermostat probably has theses terminals.
R G Y W Possibly C If it has extra terminals O or o& B you may have a dual thermostat that can be used for a heat pump or gas electric. If there is no R/C and only an R termianl thats fine, take your red wire there. Check inside the thermostat to see if there is a little black switch marked electric-gas move it to electric.
Other wise take the stat off the wall and cross the red and white wires until the furnace comes on then take them apart-if the heat shuts off in about a minute the problem is in the stat- if not the problem is in the heater.