Assuming that you used an aftermarket wiring harness and aftermarket radio, you would want to first disconnect power from your battery and then inspect the wire splices behind the radio in the dash. You will be checking for any damaged, exposed or broken wires. If any faults are found correct the issue and then check the radio fuse located in your vehicles fuse panel, and also check any subsequent in-line fuses ( particularly for power from the battery) and also the mini fuse in the back of the radio. If you have any of the described issues correcting the fault should alleviate the issue.

Have you checked the fuse?