Thermostat show AUX HEAT

On the Luxpro PSD111, Farenheit or Celcius are selected using the Jumper Switch J2 on the rear of the unit's circuit board:
Open = Celcius
Closed = Farenheit

Emergency heat is the setting that shows that your heat strips are activated. Sometimes people do not wire up the heat strips at all as the use a great deal more power than the normal heat pump uses. The problem is that a heat pump comes to a point where it is not efficient at about 28 degrees and this is where you need the heat strips or if you want to heat the house quickly which a heat pump will not do. Heat strips are located in the ductwork and act like a space heater. A H/A tech is probably needed to check this stuff out for you.

Check your fuses and your pilot light on the furnace itself

Your original wiring configuration seems to indicate that you have an air conditioner (not heat pump) and either a gas or electric furnace. If this is the case you may need a different thermostat for your application.

Can you provide the manufacturer name and model number of the old and new thermostats?

Sounds like it could be a effiency function to warn you that the heat elements are on. Check your thermostat manual and see if you can turn this feature off. If this is not a feature then the thermostat may be wired wrong or something in the circuit may be trying to short out.

Sorry, neither of these answers are completely correct.
You have a heat pump (or the wrong thermostat). Let's assume you have a heat pump.

In air conditioning mode, it works like every air conditioner you have ever had, but...

In heat mode, it reverses its operation. Have you ever felt the air coming out of the outdoor unit of your A/C unit? It's hot, isn't it. And the air coming out of the indoor unit (out of the registers) is cold. Now for a heat pump to produce heat it simply runs the air conditioner in reverse and the heat comes out in the house and the cold is released outside. Neat, huh!

Here's the problem with heat pumps...when it is really cold outside the heat pump can't produce enough heat to heat your home. So it has an additional heat source called "Auxiliary Heat". This heat comes on automatically when the house doesn't get warm enough. The source of this heat is based on the region of the country you are in. North/Northeast generally have oil heat, other regions have gas, and still others have to use electricity to heat. In Texas, we usually use electricity as the supplementary heat on heat pumps. VERY EXPENSIVE!

Now the "Emergency Heat"...this is exactly as stated in Solution #2. This is manually turned on by YOU at the thermostat when your heat pump fails. This turns on the auxilliary heaters and turns off the heat pump (remember, the reverse air conditioner). Again, this can be quite expensive to run if your heat source uses electricity! Gas and oil may be cheaper. The emergency heat is only designed (normally) to keep the house livable (not comfortable) until the Heating Tech can get out to you and fix your heat pump.

Something else you should know. It is normal for a heat pump's outdoor coil to frost up during heating mode. It will detect this and go into DEFROST mode and melt the frost off the coil. While it is doing this, it will turn on the auxilliary heater to keep the air blowing in the house at a reasonable "warm" temperature, but it will not be as hot as normal. In fact, heat pumps produce a lower temperature heat than traditional heaters. So the air may feel cooler during heating than you are use to anyway. This is normal and is not a sign of a problem.

So what do you do: Set your thermostat to the temperature you want and set the controls for HEAT/COOL and FAN-AUTO/ON and leave the EMERG HEAT off unless your heat pump breaks.

As always, keep your filters clean and your outdoor unit's coils clean and free of debris.

Hope this explains your question for you!

All aux. heat comes on when the thermostat calls for more than 2 degrees of the ambient temperature. Once the 2 degree gap is closed, aux. heat drops out of the circuit.
Some installers wire the thermostat to activate aux. heat every time heat is called for.In this wiring configuration the aux. heat stays on.

Sounds like you have a problem with your heat pump. Your aux heat is a electric coil. how old is the unit when was the last time it was serviced? How cold is it out side?

You most likely have a heat pump, the aux heat (usually electric) comes on anytime the room temperature is 4 degrees below the thermostat setting. Does the buzz go off when the aux heat lite goes out? If the aux heat does not shut off then the primary heater (heat pump) is not putting out enough heat to satisfy the thermostat. I need a little more info. Do you have a heat pump? Is it working?