Chapter and verse and please keep in mind that the ONLY Scripture that He could have referred to is the Old Testament.
John 5:39 - You search the Scriptures because you think that in them you have eternal life; it is these that testify about Me;
Luke 24:27 - Then beginning with Moses and with all the prophets, He explained to them the things concerning Himself in all the Scriptures.
I believe that command to look to Moses and the prophets would have been the Old Testament - and His command still stands - search the Scriptures. If you think today that doesn't also include the new take it up with HIM. And be sure and tell HIM ALSO that HIS COMMANDS are meaningless and 'tradition' is more important.......