Fama and French (1993) three factors are available in Kenneth French's data library. Some papers use them as they are provided there and others calculate them again. If Fama and French (1993) used some different data screening, for example by excluding more or less stocks, this would produce different factors.
My question is: is using these factors data screening dependent? In estimating multi-factor models, do I have to use exactly the same data screening as they do? Moreover, if I form industry portfolios, (calculating the industry portfolio excess return instead of the stock excess return) can I use the same factors or should I create new ones and why?