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