Even if I made an extension for this purpose, a better cascade dropdown extension for Yii ca be found here http://www.yiiframework.com/extension/jquery-cascade.
Unfortunately there is a problem on multiple cascading. I’ve made some changes to have the described requirement and to allow using safely the form enhancement described at Yii form enhancement with jQueryUI.
The only visible addition it’s a new parameter (string), at the end of the widget for the callback function when the content is changed. For the form enhancement the parameter is ‘selectmenu(“destroy”).selectmenu()’