Elisabeth Moss is proud of how ''ballsy'' she has been by taking on a new role on Broadway.

The 'Mad Men' actress will play the title character in 'The Heidi Chronicles' and admits the production is a lot more ''challenging'' than she expected.

She said: ''It's physically far more challenging than I thought it was, mentally far more challenging. I don't know why I didn't realise that.

''I'm like, 'Wow. Ballsy move, Moss. You really took on something bigger than you've done before. But that's what I want to do.''

Since relocating to New York, the 32-year-old actress has checked out as many plays as possible ahead of her turn on stage, and took particular care to ensure she fitted in time to see Tony Award winner Jessie Mueller in 'Beautiful'.

She explained to the New York Post newspaper's Page Six column: ''I wanted to see someone who was good on Broadway.

''Like, 'That's what's good. Try to do something like that.' ''

The final episodes of 'Mad Men' will air in April and though she knew the end was coming, Elisabeth still found her last days on set emotional.

She said: ''It sounds so silly because obviously you never want to equate the ending of a show with something that's actually dramatic and emotional - like life. But we'd known each other for nine years and the only thing I can equate it to is how you might have felt when leaving four years of college.

''You have to say goodbye properly, and I think that we did say goodbye properly. I felt like when I left that night, I felt ready to move on. I felt I had done whatever I needed to do to move on.''