There should be 2 blue wires. 1 is the power antenna wire, the other is the amplifier turn on wire. I haven't seen a head unit in the last 20 years that didn't have the amplifier turn on wire, but I have seen many that don't have a power antenna wire. As mentioned above, usually one is solid blue, and the other is blue with white. The way they work is the antenna wire will only put out power when the AM or FM source is selected, any other source and it will shut off. The power turn on wire will power up when you switch the head unit on and should put out power until you turn off the head unit, or turn off the key.
If for some reason you cannot find the amplifier turn on wire, or your head unit doesn't have one, the red wire on the radio harness is your switched accessory wire and the yellow has power at all times.