Wire the HPS Ballast in the position it will eventually be mounted without actually fixing it in place. Leave it mobile so you can remove it easily if the test fails.
Plug the HPS Ballast into the wall, and ensure the light is fully screwed into position. If it turns on, the light is good. If it fails to operate, check the light and the surrounding area to see whether there has been physical damage to either.
Change sockets if the HPS Ballast fails, checking to ensure that it was the light itself and not your wall socket that was bad (assuming no physical damage was found).