It can be done but not in a way that makes much economic sense
The trouble with this reaction, however attractive it looks as a neat way to use up carbon dioxide, is that is requires a lot of energy. It is basically the reverse of the normal reaction of burning methane, which releases a lot of heat (this is what your cooker is doing if supplied by natural gas). So going in reverse requires an input of at least the same amount of heat.
The Sabatier reaction (which is one way to force the required process to happen) has been known since 1910. It requires both a catalyst (nickel or ruthenium based) and both high temperatures and pressures. This means there is little incentive to do it in most circumstances. It has been used in exotic locations (the International Space Station, for example, but there it is used to use up excess carbon dioxide and regenerate oxygen not to produce methane which is discarded).
So it is possible but not sensible to do the reaction in most circumstances.
If you really want to use up carbon dioxide and turn it into something more useful, then plant a tree. Plants have been turning carbon dioxide into useful products for more than a billion years using the sun's energy to drive the reaction.