Likely to be the thermocouple - this little safety device keeps the gas flowing when it heats up in the flame. If the thermocouple fails (or it doesn't heat up because the flame is not lit) the gas stops flowing to the oven burner when you let go of the oven knob.
Boxy
January 2011
I can answer this question...
The Automatic oven knob does not stay in. HELP NEEDED (URGENT)?