Single-seater plane missing over Wollongong, south of Sydney

New South Wales police have confirmed a single-seater aircraft has gone missing while flying over Wollongong, south of Sydney.

Witnesses reported hearing a loud bang about 7.45pm (AEDT) between Bulli Tops and Sublime Point.

Police searched by foot and air for several hours late on Tuesday night, saying the search would recommence at first light on Wednesday.

Earlier, a large-scale search for the plane involved local police officers, Fire and Rescue NSW and ambulance paramedics.

Police said nothing had been found and the area was covered in thick fog.

A command post has been set up at the Sublime Point lookout.