When and why is the SELCAL (Selective Calling Radio System) check being performed?
If you are unsure whether your SELCAL equipment is properly working, you can request a SELCAL check on a HF-enabled radio frequency. The ATC unit will send out your SELCAL code for testing purposes.

I'm not sure my selcal unit is working, is there anywhere I can test it?
Yes, several places.  If you are located in:

Europe or east of 30W on the North Atlantic, call Stockholm Radio
Eastern USA/Canada or west of 30W on the North Atlantic, call New York ARINC
Western USA/Canada or Pacific, call San Francisco ARINC
Asia - daylight hours, call Singapore or Manila Radio on 8942 KHz USB

[...] All selcal checks are free of charge - just call the station with the aircraft registration mark and when you receive a reply ask for a selcal check and give your selcal code.  The operator will send out your selcal tone and - assuming the selcal unit is working - you will hear a chime in the cockpit.  Acknowledge by replying 'selcal check okay' and you're done!   If your selcal check doesn't work the first time it is worthwhile asking for a 'double' which means you get 2 sets of tones sent out back-to-back and often cures any issues.
(Source: www.selcalweb.co.uk)