A lot of discussion above is about the tempco effects of different shunts, being related to either size or construction material.
In my tests, even at 20A, the shunt elements rarely changed by more than a couple of degrees C. Dissipation power= 20x20x0.001=0.4W
Seems to me there are other effects at present unknown.
enut11
A few things. Dissipation goes up with square of the current. So 100A is 25 times as much dissipation. And nonlinearity comes with this.
Often times for four wire shunts, the actual value of the high current path is a lot higher than the nominal value. You have the nominal value between the 4 leads and some extra for the leads leading there.
When measuring 20A*0.001mOhm = 20mV, thermocouple effects will effect matter. I had a design where the leads were connected to different sized PCB planes, and the shunt was measuring current differently in either direction.
The better ones also have a voltage coefficient defined, that I'm not even sure what is the mechanism for that.