Some webhosts have problem connecting to payment gateways. If you get the following message when trying to do a transaction 'Your server cannot connect to Authorize.net to
complete this transaction. Please consult your hosting provider about
access to the secure link test.authorize.net.' it means that your webhost is not allowing outgoing connections. You need to contact your webhost and ask them to open up a port to your payment gateway, or ask them for their outgoing proxy settings.
If your webhost provides you with proxy settings, go to Store Settings in the admin section. Then click on Miscellaneous Settings. Fill in the proxy settings as provided by your webhost.