Like Bud said, your problem is most likely between the 2nd and 3rd light, still unknown if it's a short, loose connection or failed light fixture. Assume it's a short or loose connection first, and take it from there. I would disconnect the cable that goes from 2nd light to the 3rd light first. If it's good when you turn it on, check connections at 3rd light. If they seem alright, then it's a bad fixture or your cable between the lights is damaged.