ANSWER: We read about the feast of Purim in Esther 9:18-32. Notice especially Esther 9:26-28 "So they called these days Purim, after the name Pur. Therefore, because of all the words of this letter, what they had seen concerning this matter, and what had happened to them, the Jews established and imposed it upon themselves and their descendants and all who should join them, that without fail they should celebrate these two days every year, according to the written instructions and according to the prescribed time, that these days should be remembered and kept throughout every generation, every family, every province, and every city, that these days of Purim should not fail to be observed among the Jews, and that the memory of them should not perish among their descendants."
This festival is one of the national feasts of the Jewish people. It commemorates the deliverance of the Jews from the Persian Empire during the fifth century B.C. This and similar festivals, such as the Feast of Lights (from the Maccabean period in the second century B.C.) are rich in meaning and history for the Jewish people. As a Jew, Jesus observed them.
However, these festivals are not part of God's annual Holy Days and Festivals (Leviticus 23), nor does God command us to observe them.