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Ultimately, you have no liability for purchasing a stolen weapon-or anything else- as long as you can prove that you had no knowledge that the gun was stolen. If you do purchase a stolen item and it comes to light, you simply provide the authorities with the identity of the seller if it didn't come with an FFL. They will interview that person next. The item (gun) will be held for evidence and you have recourse against the seller for your loss.
The officer is correct that a dealer can get you the appropriate forms to properly register the gun.