Abstract Correlation analysis and its close variant principal component analysis are tools widely applied to predict the biological functions of macromolecules in terms of the relationship between fluctuation dynamics and structural properties. However, since this kind of analysis does not necessarily imply causation links among the elements of the system, its results run the risk of being biologically misinterpreted. By using as a benchmark the structure of ubiquitin, we report a critical comparison of correlation-based analysis with the analysis performed using two other indicators, response function and transfer entropy, that quantify the causal dependence. The use of ubiquitin stems from its simple structure and from recent experimental evidence of an allosteric control of its binding to target substrates. We discuss the ability of correlation, response and transfer-entropy analysis in detecting the role of the residues involved in the allosteric mechanism of ubiquitin as deduced by experiments. To maintain the comparison as much as free from the complexity of the modeling approach and the quality of time series, we describe the fluctuations of ubiquitin native state by the Gaussian network model which, being fully solvable, allows one to derive analytical expressions of the observables of interest. Our comparison suggests that a good strategy consists in combining correlation, response and transfer entropy, such that the preliminary information extracted from correlation analysis is validated by the two other indicators in order to discard those spurious correlations not associated with true causal dependencies.