A couple of things to try;
is there a wire loom coming out of the mast base and going through the deck? that can be probed for voltage with a multimeter or traced to the deck underside.
If there is no external loom then the wires must exit the bottom of the mast and through the deck there. There should be an inspection plate in one of the structural parts near the mast base on the underside of the deck (called "the overhead" BTW). There may be a junction there to allow the mast to be unstepped without taking the wiring all the way back to the panel with it.
If you can't find any of the above then pull the panel and look at the curcuit breaker/fuse that is labeled "anchor light". You can test both terminals by using a mulit meter set to 12ish volts and probing between the termnals and a ground.
WARNING, WARNING, WARNING
If you have 120 volt AC current on the panel (shore power controls) be sure to disconnect the shore power cable and turn off any inverter you have installed.
120 VOLT AC CAN KILL
If you have battery voltage on one side but not the other of the circuit breaker try flipping the switch a few times while a helper probes the terminal. If you get battery voltage at both terminals when it is truned on the the problem is the wiring from the circuit breaker to the lamp or the lamp to ground. Since "most" mast wiring shares a common ground you can test the ground side by noting that other mast light work.
With all that said, 99.44% of all electrical problems on boats is corroded terminals. The great Roosack predicts that if you go up the mast you will either find a burned out bulb or a corroded bulb socket. don't forget to take 220 sand paper, a mulitmeter, mirror, and new bulb with you when you go up the mast. the mirror being very handy if you can't get your head above the mast head to look down into the anchor light socket.