What's the Biblical basis for calling God by the name of Jesus in prayers? I am looking for a Biblical basis for this practice. Can the answerers also state which denomination they are answering from?

Jesus himself taught to pray to "Our Father who is in Heaven". But I see many Christians basically using the word "Jesus" as the name of God. "I pray to you Jesus", "save me Jesus" and so forth.

My question is -- why do many Christians prefer to pray to the person of the Godhead who is Jesus? I do not find such a teaching in the Bible, and I wonder what purpose it accomplishes. Is this what Jesus meant when he said to ask "in his name"? It seems to me that the "in his name" might mean as if you are asking for something in someone else's name, or it could be some ancient expression from those times to mean to pray to the name "Jesus" in the Godhead. In any case, the real name was "Yeshua" wasn't it?

Lastly, is there anything that a person loses by always praying to God the Father?
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One specific Biblical reference comes to mind in the martyrdom of Stephen.

When Stephen lifts up his eyes to Heaven, just before he dies he prays (cries out) Acts 7:59 "While they were stoning him, Stephen prayed, “Lord Jesus, receive my spirit.” 60 Then he fell on his knees and cried out, “Lord, do not hold this sin against them.” When he had said this, he fell asleep.

But agreed, it is more the common practice of the Church through the ages (and the Biblical norm) to pray to the Father, through the Son, in the Spirit.

(I come from a Presbyterian background (Westminster Confession of Faith)