Hi There!

I searched on internet but unable to find a tutorial which shows how to create hot air coming out of an engine exhaust(not the smoke just colorless hot air).Any idea how I can create such effect.

Thanks in advance! 

Draw a selection from the exhaust outlet.

Use blur>motion blur.

Using either a mask or the history brush, gradually fade the effect the further away it is from the outlet.

 

Or something like that :)

I could imagine that you want more turbulence in the air above the engine. I'm not that familiar with PS-Filters, but here are my suggestions.

There is a category for distortions in the filters-palette. One of them you could apply on a copy of the area where the heat should be visible.

To get more randomness you could also apply a image-mask. I thought about this tutorial (http://revision3.com/pixelperfect/flow --> you can skip the first 2:10min). Bob uses several filters and comes around with some kind of plastic-bag-effect. What about using the gradient-blur SWAMP mentioned and perhaps this effect with softened edges?

okay, this is just the point where I would start off to get the effect.

 

A layer copy, then use the smudge brush to create the mirage effect, then mask or erase what's not needed, then some gaussian blur if desired. (Might also try changing the order around, other than starting with a layer copy.)

Takes a bit of practice to get right, but it can be done.

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Barbequed Pixels?

Your friendly neighborhood Wings3D nut.
Also feel free to browse my freebies at ShareCG.
There might be something worth downloading.

Y es you will need several layers, at different sizes around the area you want to work on, then blurring them (more so as you near the heat source), then use transparency set at various levels. You will find the blend will give you what you are after.