Do the worksheets  "BU" and "raw data" exist in the workbook?

Based on what your code  is doing, you don't need to use VBA. Put the following
formula in cell A5 on the "raw data" sheet and copy it down through row 2000:

=VLOOKUP(B5,BU!$A$2:$A$10,1,FALSE)

If the value in column B is found in the range on the BU sheet, that value
will be returned in column 1 by the Vlookup function. If not found, #N/A is
returned. Convert A5:A2000 to values, then Replace all #N/A with nothing.

Most probably, the variable i from Cells(i, 1) was undefined.

I sent a non-VBA solution for this already, but if you need to do it in VBA (as
part of a larger procedure or system), the following code  should work:

Sub CompareSheets()
Dim x As Long, retval
On Error Resume Next
Sheets("raw data").Activate
For x& = 5 To 2000
retval = Application.WorksheetFunction.VLookup(ActiveSheet.Cells(x&,
2).Value, Sheets("BU").Range("A2:A10"), 1, False)
If retval = ActiveSheet.Cells(x&, 2).Value Then
ActiveSheet.Cells(x&, 1).Value = retval
End If
Next x&
End Sub