My stat prof basically said, if given one of the following three, you can find the other two:  


Cumulative distribution function 
Moment Generating Function 
Probability Density Function


But my econometrics professor said CDFs are more fundamental than PDFs because there are examples where you can have a CDF but the PDF isn't defined. 

Are CDFs more fundamental than PDFs? How do I know whether a PDF or a MGF can be derived from a CDF? 

Every probability distribution on (a subset of) $\mathbb R^n$ has a cumulative distribution function, and it uniquely defines the distribution.  So, in this sense, the CDF is indeed as fundamental as the distribution itself.

A probability density function, however, exists only for (absolutely) continuous probability distributions.  The simplest example of a distribution lacking a PDF is any discrete probability distribution, such as the distribution of a random variable that only takes integer values.

Of course, such discrete probability distributions can be characterized by a probability mass function instead, but there are also distributions that have neither and PDF or a PMF, such as any mixture of a continuous and a discrete distribution:


(Diagram shamelessly stolen from Glen_b's answer to a related question.)

There are even singular probability distributions, such as the Cantor distribution, which cannot be described even by a combination of a PDF and a PMF.  Such distributions still have a well defined CDF, though.  For example, here is the CDF of the Cantor distribution, also sometimes called the "Devil's staircase":


(Image from Wikimedia Commons by users Theon and Amirki, used under the CC-By-SA 3.0 license.)

The CDF, known as the Cantor function, is continuous but not absolutely continuous.  In fact, it is constant everywhere except on a Cantor set of zero Lebesgue measure, but which still contains infinitely many points.  Thus, the entire probability mass of the Cantor distribution is concentrated on this vanishingly small subset of the real number line, but every point in the set still individually has zero probability.



There are also probability distributions that do not have a moment-generating function.  Probably the best known example is the Cauchy distribution, a fat-tailed distribution which has no well-defined moments of order 1 or higher (thus, in particular, having no well-defined mean or variance!).

All probability distributions on $\mathbb R^n$ do, however, have a (possibly complex-valued) characteristic function), whose definition differs from that of the MGF only by a multiplication with the imaginary unit.  Thus, the characteristic function may be regarded as being as fundamental as the CDF.
