Gas furnace blowing cold air

Gas furnace blowing cold air gas furnace is blowing cold air.
I turn it off for about ten mins. Then turn it back on to heat not auto setting on the thermostat. Thermostat may say 60 degrees when I turn it to heat it says 73. Heat comes on and I cab hear it turn on. Warm air starts coming out of vents. Then anywhere from 10mins to an hour later it starts blowing cold air and I turn it off. How can I correct this. It is really cold. Happens mostly at night and when the temps outside drop down low.
Honeywell thermostat RTH111. Is there something wrong w the thermostat?
Any help is appreciated thanks!

 

The manual for the thermostat is at:

https://customer.honeywell.com/resou...69-2060EFS.pdf


Read sextion 2.4 and see if you have the thermostat properly installed to operate the furnace.

 

You would have to go down and tell us what the furnace is doing.
A make and model number of the furnace is a big help too.
Natural gas or propane ?
The thermostat is probably ok.

 

Thanks On the thermostat how do I know if the HG jumper is correctly set? I know I have to set this correctly since I have gas heat. There is a plastic piece that goes over two of the three prongs. Should I leave the prong exposed that is closest to HG? Thanks!

 

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Pic of back of thermostat I found it like this prongs close to HG are covered by plastic piece I'm guessing this is wrong?