Add a {}
and superscript that.
\documentclass[]{article}
\usepackage{amsmath}
\begin{document}
\[
\hat{\boldsymbol{\beta}}{}^{*} = \hat{\beta}^{*}
\]
\end{document}
However, if one still wanted an unbolded hat, but better kerning, perhaps this addition, as well:
\documentclass[]{article}
\usepackage{amsmath}
\begin{document}
\[
\hat{\boldsymbol{\beta}\mkern4mu}\mkern-4mu{}^{*} = \hat{\beta}^{*}
\]
\end{document}
Both techniques can be adopted into this macro approach of \hatonboldsymbol[mu-shift]{character}
\documentclass[]{article}
\usepackage{amsmath}
\newcommand\hatonboldsymbol[2][0]{\hat{\boldsymbol{#2}\mkern#1mu}\mkern-#1mu{}}
\begin{document}
\[
\hatonboldsymbol[4]{\beta}_1^{*} = \hat{\beta}_1^{*}
\]
\end{document}