How do I change the system mode (Heat, Cool, Auto, Off) on my Honeywell thermostat?

Press the Menu button, then press the Mode (+) button to cycle through available system modes. Continue cycling until the required system mode is displayed, then press Done. Available modes include Auto, Heat, Cool, Em heat (heat pump models only), and Off.

From the official Honeywell TH3110U2008 Thermostat manual, page 2

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