How to put a newline special character into a file using the echo command and redirection operator?

I would like to create a file by using the echo command and the redirection operator, the file should be made of a few lines.

I tried to include a newline by "\n" inside the string:

echo "first line\nsecond line\nthirdline\n" > foo

but this way no file with three lines is created but a file with only one line and the verbatim content of the string.

How can I create using only this command a file with several lines ?