Is there any phrase or word to say 'the day before yesterday' but shorter?
It seems very explicit say 'the day before yesterday' and in other languages there are sentences and words with this meaning.
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Short answer: no, not really. You're looking for a word like anteayer in Spanish? We don't really have anything exactly like that. We used to have "ereyesterday" (and "overmorrow" for the day after tomorrow) but they are archaic now, and people will not understand those words if you use them. "The day before yesterday" or "day before last" are the common ways to say it.