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In my book 'Gramática de uso del Español C1-C2', unit 71 is dedicated to infinitivo, and there are two sentences using infinitivo compuesto:

¿No queréis ir? Haberlo pensado antes.

¿Que estás cansado? Haber descansado cuando pudiste antes.

To me, it seems it is used to express something which should have happened/been done in the past, but hasn't. What is this form and where can I read more about it? I tried to search for it but as I don't know the grammatical term, I couldn't find anything.

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You did not find anything because there is nothing special about those sentences. The two examples you gave are just shortened versions of these two:

¿No queréis ir? Tendríais que haberlo pensado antes.
¿Que estás cansado? Tendrías que haber descansado cuando pudiste antes.

So the sentences are, in fact, using the "tener que + infinitivo" periphrasis, only that the first part is omitted. They use the infinitivo compuesto for the reason you talked about in your question: the actions referred are actions that should have been done in the past:

Tendríais que pensarlo antes (you still have time to do so).
Tendríais que haberlo pensado antes (time to think is over).

That is the purpose of the infinitivo compuesto, you can find more about this tense in chapter 26.4 of the Nueva gramática española: Los infinitivos verbales. Su interpretación semántica. Infinitivo simple e infinitivo compuesto (in Spanish only).

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    Though I agree that the semantics are the same, I think the pragmatics are different. The shorter sentences (with no tener que) I hear as pointed, even a bit aggressive. The longer sentences can of course be aggressive too, but the short delivery emphasizes that, in my view. – pablodf76 May 25 '17 at 13:29
  • @walen in fact you have several alternatives: Deberías haberlo pensado antes, Debiste haberlo pensado antes or even Debiste pensarlo antes as the "deber" verb is already in a past tense. – Charlie May 26 '17 at 6:57

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