Hansen and Jagannathan (1997) is a classic paper in empirical finance that provides a simple and appealing method for evaluating asset pricing models. It does so by quantifying the degree of misspecification among competing theories of the stochastic discount factor (SDF). The theories relevant for such an analysis typically imply the existence of r moment restrictions that can be expressed in the form ... Before getting into the specifics of the present article, let us rewind the clock and review how we got here. The measurement of model misspecification is the point of emphasis for Hansen and Jagannathan (1997) (HJ hereafter). Let us define the SDF candidate y(θ) to be a correctly specified if there exist values of θ for which (1) holds with equality. In this correctly specified case, generalized method of moments (GMM, Hansen (1982)) may be employed to consistently estimate θ. Let us define the candidate SDF to be misspecified if there are no values of θ for which (1) holds with equality. Suppose we were to employ a GMM estimator of (1) while using the second-moment matrix of payoffs (or returns) to weight the GMM criterion function. HJ show that the square root of the minimized GMM objective function using this matrix has a special interpretation: