To investigate and compare the lane changing behavior of passenger cars and heavy vehicles during the implementation period (defined as the interval from the start time to the end time of a lane change maneuver), this study applies the gradient boosting decision tree (GBDT) method to model the lane changing behavior of heavy vehicles and passenger cars, respectively. Results show that the lane change models vary with the vehicle types and lane change directions. Different factors are considered by the drivers of passenger cars and heavy vehicles when implementing lane changes to different directions. Partial dependence plots of GBDT models reveal that the influence of independent variables on lane changing behavior is nonlinear and complicated, which means that the same variable leads to various effects on the lane change decision across different vehicle types and lane change directions. In contrast with other state-of-the-art methods, the proposed method can obtain more accurate results. The findings indicate that it is necessary to build specific lane change models based on vehicle types and lane change directions for microscopic traffic simulators and autonomous vehicles.