Yes, the evidence that this is a fact is that RAW images are used to make the JPEGs. It isn't possible for a JPEG to have a wider range than a RAW image because the RAW image is the actual sensor data from which the JPEG is made.

A JPEG is the processed image produced by the camera taking its best guess at how the image should be processed. It discards details as irrelevant that are at the top or bottom of the dynamic range and then makes black and white be the points it thinks are the black and white point from the image. The end result of this is that the JPEG may very well LOOK more vibrant out of the box, but it actually contains far less information because the processing has already been applied, detail has been discarded outside the range of the JPEG and the color depth has been reduced significantly (12 or 14 bit color to 8 bit in most cases, which is over an order of magnitude less color.)

You are confusing the dynamic range of the input with the bit depth of the output. In an HDR image, it is covering an expanded input dynamic range by looking at the detail in both ends of two photos to cover a wide range of input. Properly processed, this can be crushed in to 8 bits because you are making sure to spread out detail well across those 8 bits. HDR doesn't work for every image though. If the dynamic range of a scene isn't very wide, then using HDR doesn't accomplish anything. (Also note that the HDR look can be accomplished with a single RAW file on many modern DSLRs due to the high dynamic range they support.)

What has to happen to get from 12 or 14 bit RAW to a JPEG is that the information that is important has to be tone mapped in to the 8 bit range. The camera can try to do this itself or, for more accuracy, an experienced photographer can do this by hand. Keeping the bit depth high allows this detail to be stored until it can be tone mapped by an artist rather than a computer. This is not the same as dynamic range though.

You could have an image with less dynamic range, but more bit depth. Bit depth determines the accuracy and granularity of color, not the range. Range is the measure from darkest to brightest point. It is dependent on the input. Theoretically, a JPEG could be processed to have the same dynamic range as a RAW file, but generally, the camera is going to discard information that it crushes to white or black which results in the JPEG representing a smaller dynamic range than the RAW image.