Proof of Income - Financing Question

Are bank statements sufficient for proof of income? I'm a student and self employed. I work with small business's on tech work and I do occasional pet/house sitting (girlfriend has people who want us to pet sit (she works at a vet clinic) but I generally do them/ checks in my name).

So I went to look at a car and it passed the test. So I began the financing process and was told (from the dealer) that the lenders required POI and bank statements weren't valid. I've never heard of any lender/bank declining bank statements as sufficient POI especially which the account I had statements showed all my 'pay' or my deposits from checks/cash only. Any ideas?

I may just go to a local CU and apply.