What is the best method to load data(from few tables) on DB2 UDB (v8/AIX) to DB2 on MVS (Not sure about version #) ?

Can we create a federated link on MVS side to do a cursor load ?

Please advice.

It depends on your site policies and the volume of data:

If the data volume is small, then you can export data to ixf/del files and do import to the zos. Note, you need DB2 Connect license to do this.

You can create "federated" link(called DDF on zos, iirc) from the zos to the luw, and then do "insert into...select from " or load from cursor.

you can create a federated link from luw to zos and issue insert into ..select * from ..

you can "export" the data from luw to fixed width files, ftp over to mainframe and run the LOAD utility.

you may find this redbook helpful:
IBM Redbooks | Moving Data Across the DB2 Family

It covers moving data between DB2 z/OS and DB2 LUW