[Al Skierkiewicz]

There are two pretty common issues here. If you did not use the connector that came on the power supply to power the radio, you may have the wrong size connector. These come in a variety of sizes for both the outer diameter and the inner pin size. While it looks right and it may even work most of the time, vibration will show that the inner pin is the wrong diameter.
If this is not a new radio, it is possible that you have broken the solder connection on the board. The result is the same as above. You can open the radio and repair this connection if you have soldered components on a circuit board before. As mentioned above, the antennas which are located along each side, are delicate and should not be touched. If you open the case, you will be able to determine if the connection is broken by wiggling the power connector. If it moves, it most certainly has broken the solder connection.