What are the differences between setUpClass, setUpTestData and setUp in TestCase class?

EDIT: Update/Correction after Alasdair's comment

setUpClass

• setUpClass is used to perform class-wide initialization/configuration (e.g. creating connections, loading webdrivers). When using setUpClass for instance to open database connection/session you can use tearDownClass to close them.
• setUpClass is called once for the TestCase before running any of the tests. Similarly tearDownClass is called after all the tests have run.

Note from documentation:

SimpleTestCase and its subclasses (e.g. TestCase, ...) rely on setUpClass() and tearDownClass() to perform some class-wide initialization (e.g. overriding settings). If you need to override those methods, don’t forget to call the super implementation:

setUpTestData

• setUpTestData is used to create initial test data per TestCase. This method is called by TestCase.setUpClass() (src)
• setUpTestData is called once for TestCase, as explained in documentation. In case databases does not support transactions, setUpTestData will be called before each test run (thanks @Alasdair for correcting me)

setUp

• setUp will be called before each test run, and should be used to prepare test dataset for each test run.

Using setUpTestData allows for test performance improvement, be aware that change to this data in tests will persist between different test runs. If needs to be reloaded it can be done so from setUp method.If database used for running tests does not support transactions, performance improvement is negated (as setUpTestData will be called before each test run)