This is a question that crosses all over the place, each of these techniques are different. Here are some very loose guidelines.
As a baseline, recall that in econometrics you may have performed exercises and discovered how the results allow regular regression to recover the estimates for more complex regressions. In particular, I want to remind that fixed-effect regression in the linear regression case is equivalent to encoding each of the variables one hot (ie. adding dummies for each variable). The same result occurs if you demean by group before regressing. So: FE, demeaning, and one-hot are essentially the same. This tends to fall apart if you are using nonlinear functional forms (you cannot just force in dummies to nonlinear models and expect correct recovery of coefficients) - so you are right to be cautious.
In ML I am not aware of many specialized first-differencing or fixed-effect estimation techniques (like in Stata's regHDFE) that takes raw data and performs specific tasks exclusively to deal with the notion of panel data. (I believe LSTM networks do contain some elements that will complicate the process, however, so I will be mute about them.)
Since the scripts you are working with do not preprocess the data, the choices you have are typically to:
- Preprocess the data in a way that matches your objectives.
- Encode the data one-hot (ie add dummies/fixed effects).
- Encode the data as a vector/list.
Point 1) Critically, nothing stops you from preprocessing the data during the normalization step in a way that demeans by individual group (a la fixed-effects) or finds differences between periods (a la first-differencing). You can train the ML technique on this preprocessed data and it will help you interpret the results in a way you're familiar with. Ultimately, regHDFE and similar programs simply does this preprocessing for you. You can and should preprocess your data such that they are normalized - and these are permissible ways to perform that normalization.
Points 2/3) In RF you might find it most common to encode the individuals one-hot and the time is typically passed as a 0..T list. The difference is because of the relation between time and individuals. If you encode the groups as a list of individuals 1...I, they will get clustered together inappropriately, individuals 2 and 3 will often be in the same leaf though, presumably, their labeling as individuals 2 and 3 is typically random. Time can be passed as a list since time periods 2 & 3 actually are related. You are not prohibited from passing time as a large set of one-hot variables. The difference is loosely akin to your choice of including time trends vs individual time-based FE ... though ML techniques are infinitely more flexible in how that "time trend" can be manifested and it seems to lose information by entirely isolating each period. NN's can also parse the individuals as fixed-effects and the time as a sequence (or as more FE).
