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A significant obstacle to firearms research lies in the lack of accurate state-level data on the volume of firearm purchases. Data from the National Instant Criminal Background Check System (NICS) are often used as a proxy measure for firearms purchases and accessibility, particularly in studies assessing the impact of firearms regulations. This study aims to investigate how change in state laws and data recording procedures influence NICS data provided by the FBI. Employing change point detection algorithms for time series analysis, we identify significant changes in background checks over time at the state level. Subsequently, we explore whether these fluctuations stem from changes in firearm legislation, permit regulations, data recording methodologies, or external events such as presidential elections or mass shootings. Our findings reveal a multitude of factors affecting NICS data, rendering it an inadequate proxy for firearm purchases across most states. We explore the potential of employing time-series modeling to devise a more reliable proxy for firearm transactions.