Cesar is almost right- flames can indicate what is burning. Sodium burns orange if I am right. there are other compounds which burn all kinds of colours.Like green from boron compounds : http://www.flickr.com/photos/37388341@N00/1491624607/
But back to the question at hand. I guess we are talking about a gas stove, or a hob of a cooker. The colour of natural gas flames depends how much oxygen is in the flame. Yellow is not ideal. The flame if it has enough oxygen will burn blue. A yellow flame needs more oxygen to burn fully and safely. Blue burns more complete. You might want to get this checked out!
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