Let $$ f(x) = \sum\limits_{n=1}^\infty \arctan \frac x {n^2} $$ I need to check whether $f : \mathbb R\to \mathbb R$ is continuous.
Of course, if it converges, $f(x) = -f(-x)$, so I will be only concerned about nonnegative $x$ (the series terms are in this case nonnegative).
Of course, $f$ converges pointwise, as for every $x\geq 0$, $\arctan x\leq x$. In particular, from comparative test, $$ \sum\limits_{n=1}^\infty \arctan \frac x {n^2} \leq x \sum\limits_{n=1}^\infty \frac 1 {n^2} < x\cdot\infty=\infty. $$
To see if it's continuous, we could check if it converges uniformly. However, if $\sum\limits_{n=1}^\infty \arctan \frac x {n^2}$ converges uniformly, then $\arctan \frac x {n^2}$ converges uniformly to $0$. The last one is false though, as $||\arctan \frac x {n^2}|| = \sup_{x\geq 0}|\arctan \frac x {n^2}| = \pi/2 \not \to 0$.
I don't know any theorem about continuity of non-uniform convergence of series though. How can it be checked?
You can work locally: so let $a>0$ and then
$$\Vert\arctan \frac{x}{n^2}\Vert=\sup_{0\le x\le a} \vert \arctan\frac x{n^2} \vert\le \arctan \frac{a}{n^2}\sim \frac a{n^2}$$ so the series is uniformly convergent on every interval $[0,a]$ so $f$ is continuous on $[0,+\infty)=\bigcup\limits_{a>0}[0,a]$.