I am thinking about what makes $X^{**}$ not a reflexive space in infinite dimension case. I want to know what's wrong with the following proof:
Since every vector space $X$ has a basis $\{e_{\alpha}\}$.Then we can consider the basis $\{f_{\alpha}\}$ in $X^{*}$ s.t. $$f_{\alpha}(e_{\beta})=\delta_{\alpha\beta},$$ Then if we consider the basis $\{z_{\alpha}\}$ in $X^{**}$, we can define $z_{\alpha}$ s.t. $$z_{\alpha}(f_{\beta})=f_{\beta}(e_{\alpha})=\delta_{\alpha\beta}$$, which gives a natural isomorphic from $X\rightarrow X^{**}$.