Taking advantage of recent single-particle tracking data, we compare the popular standard mean-squared displacement method with a statistical testing hypothesis procedure for three testing statistics and for two particle types: membrane receptors and the G proteins coupled to them. Each method results in different classifications. For this reason, more rigorous statistical tests are analyzed here in detail. The main conclusion is that the statistical testing approaches might provide good results even for short trajectories, but none of the proposed methods is "the best" for all considered examples; in other words, one needs to combine different approaches to get a reliable classification.