Burke Ramsey has one question for those who believe he murdered his sister, JonBenet Ramsey, in 1996.  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."  See images related to the case:  **FILE** This is an undated photo of 6-year-old JonBenet Ramsey, who was found dead in the basement of her family's home in Boulder, Colo., Thursday, Dec. 26, 1996. (AP Photo/Boulder Police Department, FILE)  289830 05: The site where 6 year old Jonbenet Ramsey was killed in Boulder, Colorado, 1996. (Photo by Karl Gehring/Liaison)  FILE--Boulder Sheriff's Department cadets V. Montez, left, and E. Hill are shown standing guard in this Dec. 27, 1996 file photo outside the home in Boulder, Colo. in which 6-year-old JonBenet Ramsey was found dead on December 26. (AP Photo/David Zalubowski, File)  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)  An investigator dusts a window for fingerprints on Monday, Dec. 30, 1996, at the home in which 6-year-old JonBenet Ramsey was found murdered last week in Boulder, Colo. The girl's body was found in the basement of the home on Thursday after she was reported as abducted and being held for ransom. There are no suspects in the death. (AP Photo/David Zalubowski)  John B. Ramsey walks out of the Roswell, Ga. home of relatives Jan. 2, 1997. The body of Ramsey's daughter, JonBenet, last year's Little Miss Colorado, was found in her home in Boulder, Colo. last week about eight hours after she was reported kidnapped. She was buried Tuesday, Dec. 31, 1996 in Atlanta, where the family used to live. (AP Photo/Alan Mothner)  The body of 6-year-old JonBenet Ramsey is led out of the Peachtree Presbyterian Church in Atlanta Tuesday, Dec. 31, 1996. The Boulder, Colo., girl was found strangled to death in her home on Wednesday, Dec. 25, 1996. (AP Photo/Chris Rank)  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)  ** FILE ** Flowers, pictures and stuffed animals adorn the gravesite of JonBenet Patricia Ramsey early Friday, morning Dec. 26, 1997 at the St. James Episcopal Church Cemetery in Marietta, Ga. A man arrested in Thailand is being held in connection with the slaying of JonBenet Ramsey, U.S. officials said Wednesday, Aug. 16, 2006. Federal officials familiar with the case, who spoke on condition of anonymity, said the man was already being held in Bangkok on unrelated sex charges. The girl was found beaten and strangled in the basement of the family's home in Boulder, Colo., on Dec. 26, 1996. (AP Photo/Ric Feld)  Children gather outside the home of JonBenet Ramsey for a candle light vigil on the one year anniversary of her murder Friday Dec. 26, 1997 in Boulder, Colo. (AP Photo/Michael S. Green)  John Ramsey hangs a sign in the window of his new campaign headquarters on State St. in Cheboygan Mich., June 8, 2004. Ramsey, a candidate for the Michigan House, greets voters at his campaign office with a handshake, a complimentary hot dog _ and a book that proclaims he didn't kill his daughter. Eight years after the child beauty pageant star was murdered in Boulder, Colo., JonBenet Ramsey is an unseen presence in a state legislative race 1,500 miles away. (AP Photo/ Meegan M. Reid)  ** FILE **In this Aug. 29, 2000 file photo, Patsy Ramsey speaks as her husband John Ramsey listens during a short news conference in Atlanta. Prosecutors say new DNA tests have cleared JonBenet Ramsey's family in the 1996 killing of the 6-year-old beauty queen. Boulder County District Attorney Mary Lacy said Wednesday, July 9, 2008, that the tests point to an "unexplained third party." Lacy apologized to the family, saying, "To the extent that this office has added to the distress suffered by the Ramsey family at any time or to any degree, I offer my deepest apology." (AP Photo/Gregory Smith, File)  American John Mark Karr sits as he is shown at a police news conference at Immigration office in Bangkok, Thailand Thursday, Aug. 17, 2006. Thai police said that Karr, a 41-year-old American schoolteacher, admitted to the killing a decade ago of 6-year-old beauty queen JonBenet Ramsey in the United States _ a sensational crime some feared would never be solved. Lt. Gen. Suwat Tumrongsiskul, head of Thailand's immigration police, told The Associated Press that John Mark Karr confessed to the killing after his arrest Wednesday afternoon at a downtown Bangkok apartment. (AP Photo/Sakchai Lalit)  A book by author Dan Brown is seen next to John Mark Karr, the suspect in the 1996 killing of six-year-old JonBenet Ramsey, as he sits in business class on his way from Bangkok to Los Angeles Sunday Aug. 20, 2006. Agents wearing U.S. Customs shirts met Karr as he left the jet ahead of all other passengers and the group disappeared from the view of reporters on the flight. He was later turned over to local authorities and flown by helicopter to a Los Angeles County jail complex near downtown. (AP Photo/Elizabeth Dalziel)  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.  Aug. 17, 2006 - JONBENET RAMSEY.SUPPLIED BY JONBENETRAMSEYRETRO(Credit Image: Â© Globe Photos/ZUMAPRESS.com)  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, center, Public Defender Seth Temin, left, and District Judge Roxanne Bailin are shown in this artist drawing by Pat Lopez during Karr's extradition hearing in court at the Justice Center in Boulder, Colo.,Tuesday, Aug. 29, 2006. Bailin on Tuesday ordered Karr sent to California by Sept. 13, saying he had violated terms of his bond in that state by failing to show up for a hearing on the pornography charges. If convicted, Karr could get a year in prison on each count. (AP Photo/Pat Lopez, Pool)  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.  More from ET Online: 'The Case of: JonBenet Ramsey' Premiere: Shocking New Revelations Including Previously Unheard Audio Evidence! EXCLUSIVE: Dr. Phil to Burke Ramsey: 'There Still Are People That Believe You Killed Your Sister' OJ Simpson Might Be the Only One Not Watching the Emmys on Sunday
Burke Ramsey revealed to Dr. Phil the heartbreaking way he has remained close to his sister years after she was found murdered in her family's home.