4 wire color changing LED Xmas lights

[mfleming]

These are likely individually addressable leds (SPI?) which should have two-in, two-out plus common wiring. Look closely at the "out" side for a broken wire connection, and also compare it to a working socket. See this hobby part example for a closeup picture of the wiring to see if it matches

https://www.sparkfun.com/products/16792

NB: I'd like to find a schematic online, since as Tony noted you'd expect a serial string of lights to fail past the breakpoint.
But that's just memories of Christmases long long past