Prime Minister Scott Morrison says the Liberal candidate in the Wentworth by-election is likely to lose to independent Dr Kerryn Phelps.

Dave Sharma would be the first conservative candidate to lose the electorate, which has been held by the Liberal party and its predecessors since Federation.

Dr Phelps has previously indicated she would guarantee confidence and supply to the Morrison government, however when given the opportunity yesterday she did not reaffirm this position.