Burke Ramsey has one question for those who believe he murdered his sister, JonBenet Ramsey, in 1996.

... Where's the evidence?

In the final part of Burke's three-part sit-down with Dr. Phil airing Monday, the now 29-year-old brother of the late JonBenet addresses those who doubt his innocence in the headline-making murder. Burke was nine years old at the time his 6-year-old sister was killed, and has never been named a suspect.

WATCH: EXCLUSIVE -- Dr. Phil to Burke Ramsey: 'There Still Are People That Believe You Killed Your Sister'

"What's the evidence or the lack thereof?" Burke says to the naysayers. "I don't know what to say about that because I know that's not what happened."

"There's been a few people who said that's not even physically possible for a 9-year-old to do that," he adds about a theory that his parents, Patsy and John Ramsey, covered up the murder to protect him.

Ramsey says he still talks to his sister today, and believes that she and their mother, Patsy -- who died in 2006 of ovarian cancer -- are watching over him.

"Sometimes I would talk to her," he admits about JonBenet. "If there's some important thing I was doing, like, 'Hey, thanks for looking out for me,' ... or, you know, 'Hope you're having fun up there,' because I'm taking some test or, you know, like, 'Wish I was up there right now.'"

Dr. Phil also defended Burke when some viewers criticized Burke's smiling demeanor throughout the interview.

"This is anxiety -- he's socially uncomfortable," Dr. Phil stresses. "I've seen it a lot. He's not autistic, he's not weird, he's not creepy -- he's just nervous. This is a young man that has grown up in kind of a siege mentality ... you have to understand that when this happened, he was plucked out because media was all over them. So, he's been moved around a lot, he's been in isolation quite a bit, and he's just not socially comfortable, and he's certainly not comfortable being on camera."

"But he wanted to do this," he adds about the intimate sit-down. "Because he knew it was the 20th anniversary [of JonBenet's death] and he wanted to honor his sister. ... He's very intelligent and he's very personable when you spend time with him. But what you're seeing is just anxiety expressing itself -- nothing more, nothing less."

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26 PHOTOS JonBenet Ramsey murder case See Gallery JonBenet Ramsey murder case 289830 05: The site where 6 year old Jonbenet Ramsey was killed in Boulder, Colorado, 1996. (Photo by Karl Gehring/Liaison) Aug. 17, 2006 - JONBENET RAMSEY.SUPPLIED BY JONBENETRAMSEYRETRO(Credit Image: Â© Globe Photos/ZUMAPRESS.com) 318902 01: People light candles at the murder site of 6 year old Jonbenet Ramsey in Boulder, Colorado, December 1997. (Photo by Karl Gehring/Liaison) BOULDER, CO - MAY 01: John and Patsy Ramsey, the parents of JonBenet Ramsey, meet with a small selected group of the local Colorado media after four months of silence in Boulder, Colorado on May 1, 1997. Their 6-year-old daughter was found dead on Christmas night 1996. (Photo By Helen H. Richardson/ The Denver Post) BOULDER, CO - MAY 01: John and Patsy Ramsey, the parents of JonBenet Ramsey, meet with a small selected group of the local Colorado media after four months of silence in Boulder, Colorado on May 1, 1997. Patsy holds up a reward sign for information leading to the arrest of their daughter's murderer. Their 6-year-old daughter was found dead on Christmas night 1996. (Photo By Helen H. Richardson/ The Denver Post) BOULDER, CO - MAY 01: John and Patsy Ramsey, the parents of JonBenet Ramsey, meet with a small selected group of the local Colorado media after four months of silence in Boulder, Colorado on May 1, 1997. Their 6-year-old daughter was found dead on Christmas night 1996. (Photo By Helen H. Richardson/ The Denver Post) 8/27/1998 Colorado Jonbenet Ramsey House In Boulder. (Photo By Karl Gehring/Getty Images) BOULDER, CO - MAY 01: John and Patsy Ramsey, the parents of JonBenet Ramsey, meet with a small selected group of the local Colorado media after four months of silence in Boulder, Colorado on May 1, 1997. Their 6-year-old daughter was found dead on Christmas night 1996. (Photo By Helen H. Richardson/ The Denver Post) Murdered 6-yr-old beauty queen JonBenet Ramsey's image amblazoned on dozens of binders crammed w. investigators's reports for case which still unsolved after 6 months, in Sheriff's office (Photo by Ray Ng/The LIFE Images Collection/Getty Images) ATLANTA - AUGUST 16: Lib Waters places a note on the grave of JonBenet Ramsey August 16, 2006 in Marietta, Georgia. A suspect in the murder of Ramsey, the 6-year-old beauty queen whose parents were under suspicion early on, has been arrested in Thailand. The note Waters left reads: 'Dearest Patsy, Justice has come for you + John. Rest in Peace. Your friend, Lib Waters.' (Photo by Barry Williams/Getty Images) Bangkok, THAILAND: US teacher John Mark Karr (C), 41, flanked by Thai police, walks towards a van on his way to the airport from a detention center at the Thai Immigration Department in Bangkok, 20 August 2006. Thai authorities deported the US teacher arrested here over the 1996 killing of child beauty queen JonBenet Ramsey, amid serious doubts about his involvement in the brutal crime. Karr was arrested 16 August 2006 in connection with the slaying of six-year-old JonBenet, who was found strangled and beaten to death in the basement of her family's Colorado home on the day after Christmas 1996. AFP PHOTO/ Saeed KHAN (Photo credit should read SAEED KHAN/AFP/Getty Images) LOS ANGELES - AUGUST 22: John Mark Karr, the suspect in the killing of child beauty queen JonBenet Ramsey, appears at an extradition hearing at the Los Angeles Superior Court August 22, 2006 in Los Angeles, California. Karr agreed to be extradited to Colorado to face charges of murder, kidnapping and sexual assault in the JonBenet Ramsey case. (Photo by Mario Anzuoni-Pool/Getty Images) BOULDER, CO - AUGUST 28: Karen Salaz, spokesperson for the Colorado state court system, approaches the news media with copies of a release announcing that charges against John Mark Karr in connection with JonBenet Ramsey murder case were dropped August 28, 2006 in Boulder, Colorado. A DNA sample taken from Karr after he arrived in the U.S from Thailand where he was arrested last week did not match a sample taken at the murder scene. Ramsey is the six-year-old beauty queen found murdered in the basement of her Boulder, Colorado home the day after Christmas in 1996. Karr could still face unrelated child pornography charges in California. (Photo by Thomas Cooper/Getty Images) Dec 26, 1997 - Marietta, Georgia, USA - JonBenet Ramsey grave on one year anniversary of her death. Former Little Miss Colorado JonBenet Patricia Ramsey (8/6/90-1996-12-25), was found strangled in the basement of her family's home in Boulder, Colorado, Thursday, Dec. 26, 1996. Marietta, GA -- JonBenet Ramsey would've turned twenty years old this week. The child beauty pageant star was mysteriously killed on Christmas, 1996 in Boulder, Colorado. She was six years old. Dozens of theories abound, but no one has ever been charged with her murder. Aug 20, 2006; Los Angeles, CA, USA; Members of the news media gather at the arrival area of Los Angeles International Airport to interview passengers arriving from the same flight with John Mark Karr, the suspect in the killing of 6-year-old JonBenet Ramsey on Sunday, Aug. 20, 2006. John Mark Karr (C) is taken into a court room with his attorney Rob Amparan before his bail hearing in Santa Rosa, California, September 19, 2006. Karr, the schoolteacher who made worldwide headlines by confessing to one of America's most notorious unsolved crimes, the murder of six-year-old JonBenet Ramsey, is now facing charges of five counts of possessing child pornography. REUTERS/John Burgess/Pool (UNITED STATES) FILE - In this June 29, 2006, file photo, John Ramsey hugs his son, Burke, facing camera, at the graves of his wife, Patsy, and daughter JonBenet, during services for his wife at the St. James Episcopal Cemetery in Marietta, Ga. Burke Ramsey discussed his sister's death with TV's "Dr. Phil" in an interview broadcast on Monday, Sept. 12, 2016. (AP Photo/Ric Feld, File) FILE - In this Aug. 28, 2000 file photo, John and Patsy Ramsey leave their attorney Lin Wood's offices during a break in the Ramsey's questioning by Boulder, Colo., authorities in Atlanta. CBS is getting in the true crime business by investigating the JonBenet Ramsey murder in an upcoming six-part docuseries, the network announced Wednesday, Aug. 10, 2016. Their six-year-old daughter was found dead in her Colorado home on Dec. 26, 1996 after her parents reported her kidnapped. (AP Photo/Gregory E. Smith, File) FILE - This Aug. 30, 2006, file photo, shows the exterior of the Boulder, Colo., home where JonBenet Ramsey was murdered in 1996. In his most extensive comments on the Ramsey case, retired Boulder Police Chief Mark Beckner says officers botched the initial handling of the crime scene. Beckner participated in an "Ask Me Anything" session on the social-networking and news site Reddit Saturday, Feb. 21, 2015, and told the Boulder Daily Camera on Tuesday, Feb. 24, that he didn't realize his comments would filter out to the rest of the world. (AP Photo/Paul Sakuma, File) Boulder County Chief Public Defender Seth Temin, driving, smiles as he leaves a courtroom in his car with Deputy Public Defender Yasmin Forouzandeh, after an extradition hearing for John Mark Karr at the Boulder County Justice Center in Boulder, Colo., Tuesday, Aug. 29, 2006. Karr was a school teacher who claimed to have been present when JonBenet Ramsey was killed in 1996. (AP Photo/Paul Sakuma) Patsy Ramsey's sister Paulette Davis brushes off the grave of JonBenet Ramsey at the St. James Episcopal Cemetery in Marietta, Ga., Thursday, Aug. 17, 2006. A man arrested in Thailand is being held in connection with the slaying of JonBenet Ramsey, U.S. officials said Wednesday, Aug. 16, 2006. The girl was found beaten and strangled in the basement of the family's home in Boulder, Colo., on Dec. 26, 1996. (AP Photo/Wilford A. Harewood) Attendees pay their respects at the graves of Patsy Ramsey, and daughter, JonBenet, during services for Patsy Ramsey at the St. James Episcopal Cemetery in Marietta, Ga., Thursday, June 29, 2006. Patsy Ramsey died Saturday after a long battle with ovarian cancer. (AP Photo/Ric Feld) Candles surround a portrait of JonBenet Ramsey outside her home after a candlelight vigil on the one-year anniversary of her murder Friday, Dec. 26, 1997, in Boulder, Colo. About 60 people gathered for the vigil. (AP Photo/Michael S. Green) John Ramsey looks on as his wife, Patsy, holds an advertisement promising a reward for information leading to the arrest and conviction of the murderer of their 6-year-old daughter, JonBenet, during an interview Thursday, May 1, 1997, in Boulder, Colo. It was the Ramsey's first meeting with reporters since the days after their daughter was found slain in the basement of their family's home in Boulder, Colo., on Dec. 26, 1996. No arrests have been made in the girl's death. (AP Photo/Rocky Mountain News, Patrick Davison) PLEASE CREDIT: Patrick Davidson, Rocky Mountain News Shrouded by trees near, an unidentified investigator uses a tape measure on the Ramsey family home early Tuesday, July 1, 1997, while gathering information to construct an architectural model of the 6,000-square-foot, Tudor-style home in which JonBenet Ramsey was murdered more than six months ago in Boulder, Colo. Boulder police, along with district attorney investigators and members of the Colorado Bureau of Investigation, have been scruntinizing the home since Monday and may be in the home for up to a week. (AP Photo/David Zalubowski) Up Next See Gallery Discover More Like This HIDE CAPTION SHOW CAPTION of SEE ALL BACK TO SLIDE

Meanwhile, the second half of CBS' The Case of: JonBenet Ramsey airs Monday at 9 p.m. PT/ET. The first half of the two-night special aired Sunday, and has already caused a stir among viewers, particularly, when it comes to new doubts cast on the 9-1-1 call made by Patsy.

Using modern audio technology unavailable at the time, retired FBI profiler Jim Clemente and former criminal behavior expert Laura Richards managed to isolate what they believe is the content of six seconds of what was previously unintelligible background conversation. According to the experts, one voice sounds like it could be JonBenet's father, John, saying, "We're not speaking to you." Another voice, which they believe to be Patsy's, can be heard asking, "What did you do?" followed by "Help me, Jesus."

A small child's voice, which the experts think could be Burke, then asks, "What did you find?" After which, the female voice can be heard saying, "We've called the police, now what?"

In tonight's conclusion to the four-hour true crime special, retired FBI agent James Fitzgerald -- who's been working on the case for 20 years -- says the team of experts will name who they think committed the crime.

WATCH: 'The Case of: JonBenet Ramsey' Premiere: Shocking New Revelations Including Previously Unheard Audio Evidence

ET caught up with Dr. Phil last Thursday, when he, once again, came to Burke's defense.

"Burke is not, and has never been, a suspect in this case," Dr. Phil told ET. "I think people have considered him otherwise because, in the very beginning, the DA and the Boulder PD have acknowledged and admitted they put out misinformation to the media, to the public, to try to put pressure on the Ramseys to either make a mistake or break or confess."

"On our final episode, what you're going to hear is Burke's very specific theory about who killed his sister," he promised.

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