The frequencies of a cryogenic sapphire oscillator and a hydrogen maser are compared to set new constraints on a possible violation of Lorentz invariance. We determine the variation of the oscillator frequency as a function of its orientation (Michelson-Morley test) and of its velocity (Kennedy-Thorndike test) with respect to a preferred frame candidate. We constrain the corresponding parameters of the Mansouri and Sexl test theory to δ − β + 1/2 ≤ 3.4 × 10 −9 and β − α − 1 ≤ 4.1 × 10 −7 which is of the same order as the best previous result for the former and represents a 50 fold improvement for the latter. These results correspond to an improvement of our previously published limits [Wolf P. et al., Phys. Rev. Lett. 90, 6, 060402, (2003)] by about a factor 2. We describe the changes of the experiment, and show the new data that lead to that improvement.