Thanks for the swift replies. The Heatmiser website just says:
"*Three wires, excluding earth, is required for this thermostat"
http://www.heatmisershop.co.uk/epages/Heatmiser.mobile/en_GB/?ObjectPath=/Shops/Heatmiser/Products/%22PRT-TS%20%28EU%29%22/SubProducts
It sounds as though...