Turn off the gas supply valve to your appliance to test whether your valve is capable of shutting down properly. Set the thermostat or the device's controller slightly above the current room temperature. Locate the hot surface igniter and look for a spark or glow there. There should not be a flame-up there if the valve is working correctly.
Open the manual gas switch if the gas valve fails to operate and look to see if gas is flowing to the main burner or pilot. Set your thermostat to under the room's current temperature and let at least one minute pass to allow the appliance to attempt to get fuel. If it fires, it is working correctly. Allow the appliance to run through one complete cycle to ensure that the controls are functioning in the correct manner.
Turn the gas control knob to the "On" position if the main burner does not turn on when the thermostat or controller is adjusted to start the appliance. Adjust the thermostat several degrees higher than your current room temperature. Check your instruction manual to determine the voltage that should be running at your control valve circuit. Test the voltage using an AC voltmeter. If the voltage is dead or not as rated, replace the valve.