Abstract: We prove that the test for an unknown threshold in models with endogenous regressors - proposed in Caner and Hansen (2004) - can exhibit severe size distortions due to the behavior of the test sequence at the edge of the sample. We propose two GMM LR-type and two GMM LM-type tests that rectify these size distortions. Just like the test in Caner and Hansen (2004), our tests are non-pivotal, and we prove their bootstrap validity. The empirical application revisits the question in Ramey and Zubairy (2018) whether government spending multipliers are larger in recessions, but using tests for an unknown threshold. Consistent with Ramey and Zubairy (2018), we do not find strong evidence that these multipliers are larger in recessions.