In the present work, a moment inequality is derived for new renewal better (worse) than used in expectation(NRBUE) (NRWUE) distributions. This inequality demonstrates that if the mean life is finite then all higher order moments exist. A new test statistics for testing exponentiality against NRBUE (NRWUE) is introduced based on this inequality. It is shown that the proposed test is simple and has high relative efficiency for some commonly used alternatives. Critical values are tabulated for sample sizes n = 5(1)30. A set of real data is used as an example to elucidate the use of the proposed test statistics for practical reliability analysis.