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It's not going to put out enough voltage and current to light up a test light.
If you dont have a scanner...
You'd be better off hooking up a voltmeter (if its fast enough to keep up with the fluctuations since the sensor is continuously bouncing between about .1 and .9V)
With my multimeter i measured the voltage from the wire going to the sensor with the ignition on engine not running. I measured 9.5 volts does this mean power from the ecm is good?
Put the meter on the O2 sensor wire while the engine is running and at full operating temp. If the voltage isn't bouncing between 100 and 900 mV, likely a bad sensor.
The sensor doesn't depend on the ECM to run itself. It generates its own voltage output that the ECM reads.