It depends on the exact model- the majority of them have a control box in the air return, but some do have the circuit board in the air conditioner on the roof under the shroud.
Basically, I would start by disconnecting the W heat wire at the thermostat- if that shuts off the heat, you know it is the thermostat. Next I would move to the roof unit and do the same thing (unhook the W white wire- it should be wire nutted there. If the furnace stops, it is in the cable, if it doesn't, the board is bad. Those boards are pretty inexpensive- in the $60 range.
