Replaced the old thermostat and the flame still does not start. Checked the thermopile and the voltage was more than 500 mv when the pilot was on. Only other possibility: the gas valve was bad? Should the pilot be always on? Or the thermostat controls the on and off of the pilot?
Previous owner just installed a brand new Williams Gas Furnace (model 2509822) a few months ago (the tenant smelled gas and PG&E said that it was the old furnace problem. So, a new furnace was installed right before we purchased it).