Figuring out why one room stays colder even after new windows

One room stays noticeably colder than the rest of the house, even after we replaced its drafty windows. The radiator seems to warm up normally, and the door is usually open. I'm wondering whether the problem is poor wall or attic insulation, uneven heating distribution, or air leakage somewhere less obvious. Before paying for another major upgrade, how would you investigate where the heat is actually escaping?