Rangers have been under the caretaker managership of Graeme Murty since Pedro Caixinha was sacked last October.
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Liverpool will also "not stand in the way of Gerrard, ' nor would they 'seek compensation".
Scotland manager and former Rangers boss Alex McLeish believes Gerrard, although untested in management at senior level, has obvious qualities to bring to the role.
Neilson also thinks that Gerrard may already have eyes on succeeding Jurgen Klopp at Liverpool, adding: "If I am Stevie Gerrard in that situation, it is a hard one to commit to".
"Whatever he wants to do we support him in that, it's as easy as that". "I don't even know what the situation is at the moment and nobody has told me anything about".
It has been reported that the 29-year-old midfielder will sign a four-year contract with the Gers after passing a medical.
Rangers are waiting on an answer from Gerrard after being snubbed by Kilmarnock boss Steve Clarke. "We will support him in all directions".
And former Scotland worldwide Gray thinks that Gerrard could have a Souness-like impact north of the border, though he concedes the current Rangers boss Graeme Murty has not done a bad job.
"It depends on what Steven has been doing, how much coaching he has actually been involved in", McLeish said. "With regard to coaching, I am sure he has got some things to learn". I can imagine he will not miss that.
"The kids at Liverpool have a good leader in there".