Although the “first order” continuum theory of highway traffic proposed by Lighthill and Whitham (1955) and Richards (1956)—the LWR model—can predict some things rather well, it is also known to have some deficiencies. In an attempt to correct some of these, “higher order” theories have been proposed starting in the early 70s. Unfortunately, the usefulness of these improvements can be questioned. This note describes the logical flaws in the arguments that have been advanced to derive higher order continuum models, and shows that the proposed high order modifications lead to a fundamentally flawed model structure. The modifications can actually make things worse. As an illustration of this, it is shown that any continuum model of traffic flow that smooths out all discontinuities in density will predict negative flows and negative speeds (i.e., “wrong way travel”) under certain conditions. Such unreasonable predictions are made by all existing models formulated as a quasilinear system of partial differential equations in speed, density, and (sometimes) other variables but not by the LWR model. The note discusses the available empirical evidence and ends with a (hopefully positive) commentary on what can be accomplished with first-order models.