I just ran across something that I thought was interesting but don't fully understand. I have some categorical data that I am comparing in R. I use a Mann-Whitney U test when there are just two groups and Dunn's test when I have more than two groups.
What makes the significance change between the two tests?
For example: There is no significance between two groups with a U test. But in a Dunn's test they become significant if I add a third group. Is this because of how rank summing works?