<ul class="sidebar-menu">
  <?php
    $parent_terms = get_terms( 'product_cat', array( 'hide_empty' => false, 'parent' => 0 ) );
    foreach( $parent_terms as $parent_term ) {
      // display top level term name
      $child_terms = get_terms( 'product_cat', array( 'hide_empty' => false, 'parent' => $parent_term->term_id ) );
      ?>
      <li class="cat-item <?php if ($child_terms) { echo "have-children"; } ?>"><a href="<?php echo get_term_link($parent_term); ?>"><?php echo $parent_term->name; ?></a>
        <?php if ($child_terms) : ?>
          <ul class="children">
            <?php foreach( $child_terms as $child_term ) : ?>
            <!-- Display name of all childs of the parent term -->
            <li class="cat-item"><a href="<?php echo get_term_link($child_term); ?>"><?php echo $child_term->name; ?></a></li>
          <?php endforeach; ?>
          </ul>
        <?php endif; ?>
      </li>
      <?php
    }
    ?>
</ul>