The largest existing simulations of cosmic reionization model radiative transfer with moment methods that require a closure relation. The two most commonly used closure relations are M1 and OTVET; both close the moment hierarchy at the first moment. We explore the properties of a higher, second-order closure. We show that direct generalizations of M1 and OTVET to one higher order are physically unstable - i.e., the closure equations themselves result in unstable solutions, not just their numerical implementation. In fact, a generalization of OTVET to any order higher than the first one is unstable. We are also able to show that any local (i.e., depending only on the local moments of the radiation field, like M1) second-order closure that depends only on the radiation intensity and radiation flux, but does not explicitly depend on the radiation pressure, is physically unstable. This result restricts the choice of possible second-order closure relations.