This work is devoted to modeling globalization processes, taking into account the dynamic links between them and structural changes in the trend parameters. Its relevance is due to the fact that most of the work on this topic is devoted to studying the impact of globalization on individual indicators of socio-economic development, and not enough attention is paid to studying the formation of the General trend of globalization, the interaction of its components. The latter is particularly important for developing countries, which are characterized by a strong heterogeneity of these components in the structure of globalization, as well as a marked variability of parameters in their trends. We proposed an approach of cointegration analysis of globalization processes taking into account structural shifts in the trends of these processes.As an example of the implementation of this approach, we consider modeling the dynamics of the components of the KOF globalization index for Algeria during the period 1970–2015. The stationarity of the series was tested using unit root tests with structural breaks: Andrews–Zivot and Perron tests for a series with one structural break, and Clemente–Montanes–Reyes and Lee Strazicich tests for series with one or two structural breaks.The Johansen test for small samples taking into account exogenous variables was used for cointegration testing.The presence of dynamic relationships was confirmed by comparing forecasts for the vector error correction model and one-dimensional models of processes using the Dibold–Mariano test. Interpretation of models was based on estimates of the impulse response function and the Cholesky decomposition of prediction error. The results show that the formation of the KOF Globalisation Index for Algeria is largely due to the mutual influence of its components. The dynamics of political and economic globalization are formed as a result of mutual changes in the sphere of external economic and political relations. The role of international cooperation in the social sphere for the other two components of globalization in Algeria is small. At the same time, the dynamics of social globalization is determined by its own components. The proposed modeling methodology can be applied to the study of globalization processes in other countries of the world in order to justify political decision-making.