An air pocket can prevent the thermostat from opening. Thermostats open in response to hot liquid, not hot air. You should see a bleeder screw on the thermostat housing. Be sure to open that after the thermostat was replaced.
Feel the lower radiator hose when the engine is hot. If that hose is cold, coolant isn't flowing. You might consider removing the thermostat to see if that makes a difference. If there is still no evidence of circulation, suspect a problem with the water pump. One possibility is the impeller can be worn away or it can be cracked and spinning on the shaft. Also check the tension on the timing belt since it runs the water pump. A loose belt will slip over the pump's pulley.
If you repeatedly find air coming from the bleeder screw, suspect the head gaskets are leaking. When those gaskets are replaced, the heads must be checked for cracks and for warpage. Warpage must be checked at an engine machine shop or by a mechanic who has a straightedge. The maximum allowable warpage with aluminum heads is.002" in any direction.
To check for leakage, first look for the presence of bubbles in the reservoir when the engine is running. If you see any before the engine has warmed up, suspect the head gasket. The clue is the engine isn't hot yet and there's no steam with those bubbles. Most mechanics can perform a test for you that involves a glass cylinder with two chambers partially filled with a special dark blue liquid. Air from the reservoir is drawn through that cylinder. If combustion gases are present, the liquid will turn bright yellow. Those gases will create that air pocket again that prevents the thermostat from opening.
Saturday, May 21st, 2011 AT 4:11 AM