using of lookup filter for cascading

Hello All,

I am having a trouble of , how can i achieve the functionality of cascading till third level.

i want to set 

1. Country

2. State

3. City

on selection of country the respective state should be displayed.

on selection of state the respective city should be selected.

i have achieved this by option set.

but it should work using lookup filter.

can anybody suggest me how to achieve this till third level cascading.

all the examples will be helpful for me.